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Construction of an SDE model from intraday copper futures prices
Mastroeni, Loretta; Vellucci, Pierluigi - In: Risks : open access journal 10 (2022) 11, pp. 1-21
This paper introduces a model for intraday copper futures prices based on a stochastic differential equation (SDE). In particular, we derive an SDE that fits the model to the data and that is based on the whitening filter approach, a method characterizing linear time-variant systems. This method...
Persistent link: https://www.econbiz.de/10014228905
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Natural resource prices : will they ever turn up?
Berck, Peter; Roberts, Mike - 1995 - Rev
Persistent link: https://www.econbiz.de/10000893093
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Unit roots
Phillips, Peter C. B. - 1991
Persistent link: https://www.econbiz.de/10000828947
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Common trends and common cycles
Vahid, Farshid; Engle, Robert F. - 1992
Persistent link: https://www.econbiz.de/10000841625
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Adaptation of the jackknife to time-series models
Cragg, John G. - 1987
Persistent link: https://www.econbiz.de/10000741513
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Chaos: significance, mechanism, and economic applications
Baumol, William J.; Benhabib, Jess - 1987
Persistent link: https://www.econbiz.de/10000737585
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Unit roots and deterministic trends, with yet another comment on the existence and interpretation of a unit root in US GNP
Haldrup, Niels; Hylleberg, Svend - 1989
Persistent link: https://www.econbiz.de/10000770411
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On the estimation of time-varying parameters in transfer function models
Claesson, Lennart; Westlund, Anders H. - 1989
Persistent link: https://www.econbiz.de/10000771564
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Time-series tests of a non-expected-utility model of asset pricing
Giovannini, Alberto; Jorian, Philippe - 1989
Persistent link: https://www.econbiz.de/10000781817
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Reparameterization and estimation in unit root equations
Tran-van-Hoa - 1993
Persistent link: https://www.econbiz.de/10000874277