A study of dividend yield model under stochastic earning yield environment in stock exchange of Thailand

Autor:	P. Vatiwutipong, N. Phewchean
Jazyk:	angličtina
Rok vydání:	2019
Předmět:	Dividend yield Earning yield Stochastic process Compound Ornstein–Uhlenbeck process Mathematics QA1-939
Zdroj:	Advances in Difference Equations, Vol 2019, Iss 1, Pp 1-9 (2019)
Druh dokumentu:	article
ISSN:	1687-1847
DOI:	10.1186/s13662-019-2231-0
Popis:	Abstract A compound Ornstein–Uhlenbeck process is applied to create a model that can calculate the dividend yield represented in a sample case of Stock Exchange of Thailand index in which earning yield is randomly determined. Parameter estimations are made through the use of least-square technique, while the outcomes are deduced from the Euler–Maruyama method. We use numerical simulation to determine the effectiveness of the models, comparing our newly proposed model with the previous models. The actual dividend yield data is applied for comparison. The results show that our model performs best among the three models being compared.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/c2f25aaf02c14e1da9d6fbc6738bfb9b Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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