Modeling financial time series through second-order stochastic differential equations
João Nicolau
Statistics & Probability Letters, 2008, vol. 78, issue 16, 2700-2704
Abstract:
In this work we motivate the use of second-order stochastic differential equations in economics and finance. We provide an empirical illustration and discuss a parametric second-order stochastic differential equation for stock prices and exchange rates.
Date: 2008
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