Publicação
Modeling financial time series through second-order stochastic differential equations
| Resumo: | 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. |
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| Autores principais: | Nicolau, João |
| Assunto: | Economics and Finance Stock Price Exchange Rates Stochastic Differential Equations |
| Ano: | 2008 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | 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. |
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