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Investment Returns and Inflation Models: Some Australian Evidence

Published online by Cambridge University Press:  10 June 2011

M. Sherris ,
L. Tedesco  and
B. Zehnwirth
M. Sherris
Affiliation:
Faculty of Commerce and Economics, University of New South Wales, Sydney, Australia, 2052. Tel: +61-2-9385-2333; Fax: + 61-2-9385-1883; E-mail: m.sherris@unsw.edu.au
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Abstract

The development of stochastic investment models for actuarial and investment applications has become an important area of interest to actuaries. This paper reports the application of some techniques of modern time series and econometric analysis to Australian inflation, share market and interest rate data. It considers unit roots, cointegration and state space models. Some of the results from this analysis are not reflected in the published stochastic investment models.

Keywords

Stochastic ModelsUnit RootsCointegrationState Space ModelsInflationInterest RatesShare Market
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 5 , Issue 1 , 01 April 1999 , pp. 237 - 267
Copyright
Copyright © Institute and Faculty of Actuaries 1999

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