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The predictability is represented by autocorrelation absolute value. In fact, stock is assumed follow Shiller-Summer model mentioned that stock price is sum of a walk random process and stationer process. Furthermore, the model is generalized as what have been done by Chambell-Shiller. The predictab...
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id-itb.:124622017-09-27T14:41:46Z#TITLE_ALTERNATIVE# TRESNIASARI (NIM 20107067), NIA Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/12462 The predictability is represented by autocorrelation absolute value. In fact, stock is assumed follow Shiller-Summer model mentioned that stock price is sum of a walk random process and stationer process. Furthermore, the model is generalized as what have been done by Chambell-Shiller. The predictable component is generalize by short term and long term component. The existence of prior information and high rate dimension parameter urging the use of Metropolis-Hasting as a tool to predict parameter and Kalman filter as a tool to get likelihood function. The research had been done in 23 companies member of Kompas100 indeks which trade in Indonesian Stock Exchange. Shiller-Summer model can not show significant prediction while Campbell-Shiller generalization shows unpredictable return. text |
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The predictability is represented by autocorrelation absolute value. In fact, stock is assumed follow Shiller-Summer model mentioned that stock price is sum of a walk random process and stationer process. Furthermore, the model is generalized as what have been done by Chambell-Shiller. The predictable component is generalize by short term and long term component. The existence of prior information and high rate dimension parameter urging the use of Metropolis-Hasting as a tool to predict parameter and Kalman filter as a tool to get likelihood function. The research had been done in 23 companies member of Kompas100 indeks which trade in Indonesian Stock Exchange. Shiller-Summer model can not show significant prediction while Campbell-Shiller generalization shows unpredictable return. |
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TRESNIASARI (NIM 20107067), NIA |
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TRESNIASARI (NIM 20107067), NIA |
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