Diffusion approximation of a Poisson model for cumulative excess returns
DOI10.1007/s10559-015-9770-5zbMath1331.60168OpenAlexW1856113194MaRDI QIDQ904431
Publication date: 13 January 2016
Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10559-015-9770-5
correlationdiffusion approximationvolatilityPoisson modelregression residualscumulative excess returns
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Cites Work
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