Document Type

Article

Publication Version

Accepted Manuscript

Publication Date

2005

Journal or Book Title

Engineering Economist

Volume

50

Issue

2

First Page

159

Last Page

192

DOI

10.1080/00137910590949904

Abstract

The geometric Brownian motion (GBM) process is frequently invoked as a model for such diverse quantities as stock prices, natural resource prices and the growth in demand for products or services. We discuss a process for checking whether a given time series follows the GBM process. Methods to remove seasonal variation from such a time series are also analyzed. Of four industries studied, the historical time series for usage of established services meet the criteria for a GBM; however, the data for growth of emergent services do not.

Comments

The Version of Record of this manuscript has been published and is available in Engineering Economist 2005, http://www.tandfonline.com/10.1080/00137910590949904. Posted with permission.

Copyright Owner

Taylor and Francis Inc.

Language

en

File Format

application/pdf

Published Version

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