An Overview of Probabilistic and Time Series Models in Finance

Abstract

In this paper, we partially review probabilistic and time series models in finance. Both discrete and continuous-time models are described. The characterization of the No-Arbitrage paradigm is extensively studied in several financial market contexts. As the probabilistic models become more and more complex to be realistic, the Econometrics needed to estimate them are more difficult. Consequently, there is still much research to be done on the link between probabilistic and time series models.

Asian Palm Oil Production and European Vegetable Oil Market: What Can We Learn in Terms of Sustainability?

“…Within the existent economic literature, the approachess used to study price relationships follow different conceptual frameworks (Bakhat and Würzburg, 2013). In this study, we applied time series models to estimate the dynamic relationships between vegetable oil prices (Myers, 1992;Balbás et al, 2005;Taylor, 2008;Anderson, 2011;Asari et al, 2011;Bentivoglio et al, 2014;Chatfield, 2016;Bentivoglio et al, 2016). Different characteristics are relevant to implement a time series model: the presence of stochastic trend (unit roots) and cointegration.…”