Modeling financial time series through second-order stochastic differential equations
In this work we motivate the use of second-order stochastic differential equations in economics and finance. We provide an empirical illustration and discuss a parametric second-order stochastic differential equation for stock prices and exchange rates.
Year of publication: |
2008
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Authors: | Nicolau, João |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 16, p. 2700-2704
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Publisher: |
Elsevier |
Saved in:
Online Resource
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