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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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Polynomially cointegrated systems and their representations : a synthesis
Haldrup, Niels; Salmon, Mark - 1994
Persistent link: https://www.econbiz.de/10000147943
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The analysis of time series : an introduction
Chatfield, Christopher - 1980 - 2. ed.
Persistent link: https://www.econbiz.de/10000067987
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Biquadratic functions : stationary and invertibility in estimated time-series models
Pollock, David Stephen G. - 1989
Persistent link: https://www.econbiz.de/10000133880
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Spot and forward metals prices : efficiency and time series behaviour
Fraser, Patricia; MacDonald, Ronald - 1990
Persistent link: https://www.econbiz.de/10000137164
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The analysis of time series : theory and practice
Chatfield, Christopher - 1975 - 1. publ.
Persistent link: https://www.econbiz.de/10000037581
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Preliminary estimation of transfer function weights : a two-step regression approach
Edlund, Per-Olov - 1989
Persistent link: https://www.econbiz.de/10000020747
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ARCH models
Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1993
Persistent link: https://www.econbiz.de/10000899195
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The limit distribution of level crossings of a random walk, and a simple unit root test
Burridge, Peter; Guerre, Emmanuel - 1995
Persistent link: https://www.econbiz.de/10000912860
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Reparameterization and estimation in unit root equations
Tran-van-Hoa - 1993
Persistent link: https://www.econbiz.de/10000874277