Discrete time representation of continuous time ARMA processes

This paper derives exact discrete time representations for data generated by a continuous time autoregressive moving average (ARMA) system with mixed stock and flow data. The representations for systems comprised entirely of stocks or of flows are also given. In each case the discrete time representations are shown to be of ARMA form, the orders depending on those of the continuous time system. Three examples and applications are also provided, two of which concern the stationary ARMA(2, 1) model with stock variables (with applications to sunspot data and a short-term interest rate) and one concerning the nonstationary ARMA(2, 1) model with a flow variable (with an application to U.S. nondurable consumers’ expenditure). In all three examples the presence of an MA(1) component in the continuous time system has a dramatic impact on eradicating unaccounted-for serial correlation that is present in the discrete time version of the ARMA(2, 0) specification, even though the form of the discrete time model is ARMA(2, 1) for both models.

Processus stochastiques en finance (2ème partie)

Este documento é um texto didático destinado aos estudantes e pesquisadores em econometria e finanças. Baseia-se na experiência dos autores em cursos de pós-graduação na ULB, Bruxelles e na FGV IEPGE, Rio. Não há a pretensão de rigor matemático, e nem a de cobrir todas as aplicações financeiras da teoria dos processos estocásticos. Esta segunda parte discute as medidas equivalentes de martingale e o resultado de Girsanov, a sua aplicação ao modelo de Black-Scholes e a questão da avaliação de um call europeu.

Processus stochastiques en finance (1ère partie)

Este documento é um texto didático destinado aos estudantes e pesquisadores em econometria e finanças. Baseia-se na experiência dos autores em cursos de pós-graduação nos dois lados do Atlântico: na ULB, Bruxelles e na FGV IEPGE, Rio. Não há a pretensão de rigor matemático, e nem a de cobrir todas as aplicações financeiras da teoria dos processos estocásticos. Esta primeira parte discute as martingales e o movimento browniano, os processos de difusão e a integral estocástica, o lema de Itô e o modelo de Black e Scholes.

A Bayesian Analysis of Spectral ARMA Model

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Precision of yule-walker methods for the arma spectral model

In this work a new method is proposed of separated estimation for the ARMA spectral model based on the modified Yule-Walker equations and on the least squares method. The proposal of the new method consists of performing an AR filtering in the random process generated obtaining a new random estimate, which will reestimate the ARMA model parameters, given a better spectrum estimate. Some numerical examples will be presented in order to ilustrate the performance of the method proposed, which is evaluated by the relative error and the average variation coefficient.

Transformation du processus de production dans un climat d'équité

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Equité et transformation du processus de production: une approche intégrée

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Le régionalisme ouvert en Amérique latine et aux Caraïbes: l'intégration économique au service de la transformation du processus de production dans un climat d'équité

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