Mehdi M. Hosseinzadeh
Department of Mathematics, Statistics and Computer Science, University of Bergamo, Via dei Caniana, 24127 Bergamo, Italy
[ 1 ] - Simulation of Long-term Returns with Stochastic Correlations
This paper focuses on a nonlinear stochastic model for financial simulation and forecasting based on assumptions of multivariate stochastic correlation, with an application to the European market. We present in particular the key elements of a structured hierarchical econometric model that can be used to forecast financial and commodity markets relying on statistical and simulation methods. The...
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