VoseTimeShareYieldsA | Vose Software

VoseTimeShareYieldsA

See also: Time series in ModelRisk

VoseTimeShareYieldsA({Price inflation}, QMU, QSD, QA, YMU, YSD, YA, YW)

 

 

 

Array function that models Wilkie's share yields time series model based on an existing price inflation array.

  • {Price inflation} - array with price inflation data.

  • QMU - Mean force of inflation.

  • QSD - standard deviation of force inflation.

  • QA - Autoregression coefficient.

  • YMU - Mean yield net of inflation factor.

  • YSD - standard deviation of residual.

  • YA - autoregression coefficient

  • YW - inflation factor

As the ModelRisk Time Series functions typically take a lot of parameters, we recommend for these in particular to use the Wilkie Models window.

 

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