Modeling financial time series through second-order stochastic differential equations (Q952860)
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scientific article; zbMATH DE number 5366054
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| English | Modeling financial time series through second-order stochastic differential equations |
scientific article; zbMATH DE number 5366054 |
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Modeling financial time series through second-order stochastic differential equations (English)
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14 November 2008
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The purpose of this paper is to give motivation for using parametric second-order stochastic differential equations in economics and finance. It is shown here that this type of equations are the right continuous-time model to account for integrated processes that can be made stationary by differencing. An empirical illustration based on nonparametric estimators is provided.
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financial time series
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stochastic differential equations
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continuous time model
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0.7919568419456482
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0.7734286189079285
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0.7416921257972717
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0.7383598685264587
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0.7379692196846008
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