A Class of Gaussian Hybrid Processes for Modeling Financial Markets
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 14 (2007)
Issue (Month): 3 (September)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Ornstein–Uhlenbeck process; Brownian motion; Non-stationary Gaussian process; ARIMA; Variance ratio test; Commodity price; Term structure of futures price;
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