Modeling financial time series through second-order stochastic differential equations

DOI10.1016/J.SPL.2008.03.024MaRDI QIDQ952860zbMATH OpenOpenAlexFDO

Authors João Nicolau

Publication date 14 November 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.03.024

zbMATH Keywords

financial time seriesstochastic differential equationscontinuous time model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Inference for Observations of Integrated Diffusion Processes
• Nonparametric estimation of second-order stochastic differential equations
• Parameter Estimation for a Discretely Observed Integrated Diffusion Process
• Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process

Cited in

(10)

• Bias correction estimation for a continuous-time asset return model with jumps
• Variance reduction estimation for return models with jumps using gamma asymmetric kernels
• Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
• Stochastic differential equations applied to the study of geophysical and financial time series
• Applications of linear ordinary differential equations and dynamic system to economics - an example of Taiwan stock index TAIEX
• Derivatives in the mean of random processes and diffusion models in economics
• Modeling high frequency stock market data by using stochastic models
• A test for a parametric form of the volatility in second-order diffusion models
• Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
• A second-order stock market model

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