A Class of Gaussian Hybrid Processes for Modeling Financial Markets

Yasuyuki Itoh ()

Asia-Pacific Financial Markets, 2007, vol. 14, issue 3, 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)
Date: 2007
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DOI: 10.1007/s10690-007-9058-5

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