Modeling financial time series through second-order stochastic differential equations

DOI10.1016/j.spl.2008.03.024zbMath1155.62078OpenAlexW1980500537MaRDI QIDQ952860

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

continuous time modelstochastic differential equationsfinancial time series

Mathematics Subject Classification ID

Related Items (5)

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 ⋮ 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 ⋮ Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps

Cites Work

• Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
• NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS
• Parameter Estimation for a Discretely Observed Integrated Diffusion Process
• Inference for Observations of Integrated Diffusion Processes

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