Modeling financial time series through second-order stochastic differential equations (Q952860)
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| Language | Label | Description | Also known as |
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| English | Modeling financial time series through second-order stochastic differential equations |
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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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