A Class of Gaussian Hybrid Processes for Modeling Financial Markets
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References listed on IDEAS
- Gibson, Rajna & Schwartz, Eduardo S, 1990. " Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, American Finance Association, vol. 45(3), pages 959-976, July.
- Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 1-9, March.
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KeywordsOrnstein–Uhlenbeck process; Brownian motion; Non-stationary Gaussian process; ARIMA; Variance ratio test; Commodity price; Term structure of futures price;
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