Paper
Rolling Analysis in Diffusion Processes
- Authors:
- Reza Habibi
- Abstract
- The model stability is an important condition, when analyzing a financial time series. This assumption may be violated because of changes in economical and financial conditions. In a parametric model, the model stability assumption is reduced to constancy of parameters of model. Rolling analysis is useful tool to detect changes in the parameters of a statistical model. This paper considers the rolling analysis for diffusion processes. Theoretical aspects are proposed and some simulation examples are given. A real data set is considered. A conclusion section is also given.
- Keywords
- Diffusion process; Financial time series; Model stability; Rolling analysis
- StartPage
- 36
- EndPage
- 38
- Doi