A class of Gaussian hybrid processes for modeling financial markets

DOI10.1007/S10690-007-9058-5zbMath1136.91444OpenAlexW1990208924MaRDI QIDQ928166

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

zbMATH Keywords

Brownian motionOrnstein-Uhlenbeck processARIMACommodity priceNon-stationary Gaussian processTerm structure of futures priceVariance ratio test

Mathematics Subject Classification ID

Uses Software

• itsmr

Cites Work

• The Pricing of Options and Corporate Liabilities
• Component structures of agricultural commodity futures traded on the Tokyo grain exchange
• Introduction to Time Series and Forecasting
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