Discounting and Bayesian spectral analysis |
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Authors: | Claes Hägg |
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Affiliation: | University of Stockholm, S-106 91 Stockholm, Sweden |
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Abstract: | In this paper an example of Bayesian time series analysis is given. A spectral analysis model is applied to the problem how expectations regarding periodic regularities of a series of capital values differ from expectations regarding periodic regularities of the original payment series. The result of the analysis is, that there is a systematic difference in such a way that capital values are expected to have longer periodic regularities than the original payments. |
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