A class of Gaussian hybrid processes for modeling financial markets

DOI10.1007/S10690-007-9058-5zbMATH Open1136.91444OpenAlexW1990208924MaRDI QIDQ928166FDOQ928166

Authors: Yasuyuki Itoh 

Publication date: 11 June 2008

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-007-9058-5

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zbMATH Keywords

ARIMAOrnstein-Uhlenbeck processBrownian motionCommodity priceNon-stationary Gaussian processTerm structure of futures priceVariance ratio test

Mathematics Subject Classification ID

Cites Work

• Introduction to Time Series and Forecasting
• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Title not available (Why is that?)
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• Component structures of agricultural commodity futures traded on the Tokyo grain exchange

Cited In (1)

• A latent process model for the pricing of corporate securities

Uses Software

• itsmr

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