Investment Returns and Inflation Models: Some Australian evidence

(British Actuarial Journal Vol.5, Part 1 (1999))

The development of stochastic investment models for actuarial and investment applications has become an important area of interest to actuaries. This pdf paper (111 KB) 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 published stochastic investment models.

pdf Click here (111 KB) to view this paper.

(c) Insureware 1985 ~ 2017

Home | Contact | About

Insureware Pty. Ltd., Suite 6 & 7, 40-44 St Kilda Road, St Kilda, VIC 3182 AUSTRALIA
+61 3 9533 6333
info@insureware.com