A Class of Gaussian Hybrid Processes for Modeling Financial Markets

Yasuyuki Itoh ()

Asia-Pacific Financial Markets, 2007, vol. 14, issue 3, pages 185-199

Keywords: Ornstein–Uhlenbeck process; Brownian motion; Non-stationary Gaussian process; ARIMA; Variance ratio test; Commodity price; Term structure of futures price (search for similar items in EconPapers)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10690-007-9058-5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this article

Asia-Pacific Financial Markets is edited by Ryozo Miura

More articles in Asia-Pacific Financial Markets from Springer
Series data maintained by Christopher F. Baum ().