A Class of Gaussian Hybrid Processes for Modeling Financial Markets
Year of publication: |
2007
|
---|---|
Authors: | Itoh, Yasuyuki |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 14.2007, 3, p. 185-199
|
Publisher: |
Springer |
Subject: | Ornstein–Uhlenbeck process | Brownian motion | Non-stationary Gaussian process | ARIMA | Variance ratio test | Commodity price | Term structure of futures price |
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