A class of Gaussian hybrid processes for modeling financial markets (Q928166)
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scientific article; zbMATH DE number 5286483
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| English | A class of Gaussian hybrid processes for modeling financial markets |
scientific article; zbMATH DE number 5286483 |
Statements
A class of Gaussian hybrid processes for modeling financial markets (English)
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11 June 2008
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Ornstein-Uhlenbeck process
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Brownian motion
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Non-stationary Gaussian process
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ARIMA
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Variance ratio test
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Commodity price
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Term structure of futures price
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0.7340525388717651
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0.7229321599006653
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0.7203499674797058
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0.71016526222229
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0.7075485587120056
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