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1 results

  • Stochastic Investment Modelling: The Case of South Africa

  • R.J. Thomson
  • Journal:
    British Actuarial Journal / Volume 2 / Issue 3 / 01 August 1996
    Published online by Cambridge University Press:
    10 June 2011, pp. 765-801

  • The purpose of this paper is to describe a methodology for determining an appropriate structure for time-series models of inflation rates, short-term and long-term interest rates, dividend growth rates, dividend yields, rental growth rates and rental yields and to demonstrate the application of that methodology to the development of a model based on South African data. It is suggested that the methodology used in this paper may be applied to other economic environments.