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A Class of Gaussian Hybrid Processes for Modeling Financial Markets

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  • Yasuyuki Itoh

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  • Yasuyuki Itoh, 2007. "A Class of Gaussian Hybrid Processes for Modeling Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 185-199, September.
  • Handle: RePEc:kap:apfinm:v:14:y:2007:i:3:p:185-199
    DOI: 10.1007/s10690-007-9058-5
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    References listed on IDEAS

    as
    1. 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.
    2. 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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