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Investment Returns and Inflation Models: Some Australian Evidence
Published online by Cambridge University Press: 10 June 2011
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.
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- Sessional meetings: papers and abstracts of discussions
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- Copyright © Institute and Faculty of Actuaries 1999
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