Modeling financial time series through second-order stochastic differential equations

Detalhes bibliográficos
Autor(a) principal: Nicolau, João
Data de Publicação: 2008
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27580
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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spelling Modeling financial time series through second-order stochastic differential equationsEconomics and FinanceStock PriceExchange RatesStochastic Differential EquationsIn 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.Elsevier B.V.Repositório da Universidade de LisboaNicolau, João2023-04-03T13:37:47Z20082008-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27580engNicolau, João .(2008). “Modeling financial time series through second-order stochastic differential equations”. Statistics and Probability Letters, Vol. 78: pp. 2700–2704. (Search PDF in 2023).0167-715210.1016/j.spl.2008.03.024info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-09T01:32:14Zoai:www.repository.utl.pt:10400.5/27580Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:49:02.765196Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Modeling financial time series through second-order stochastic differential equations
title Modeling financial time series through second-order stochastic differential equations
spellingShingle Modeling financial time series through second-order stochastic differential equations
Nicolau, João
Economics and Finance
Stock Price
Exchange Rates
Stochastic Differential Equations
title_short Modeling financial time series through second-order stochastic differential equations
title_full Modeling financial time series through second-order stochastic differential equations
title_fullStr Modeling financial time series through second-order stochastic differential equations
title_full_unstemmed Modeling financial time series through second-order stochastic differential equations
title_sort Modeling financial time series through second-order stochastic differential equations
author Nicolau, João
author_facet Nicolau, João
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Nicolau, João
dc.subject.por.fl_str_mv Economics and Finance
Stock Price
Exchange Rates
Stochastic Differential Equations
topic Economics and Finance
Stock Price
Exchange Rates
Stochastic Differential Equations
description 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.
publishDate 2008
dc.date.none.fl_str_mv 2008
2008-01-01T00:00:00Z
2023-04-03T13:37:47Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27580
url http://hdl.handle.net/10400.5/27580
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Nicolau, João .(2008). “Modeling financial time series through second-order stochastic differential equations”. Statistics and Probability Letters, Vol. 78: pp. 2700–2704. (Search PDF in 2023).
0167-7152
10.1016/j.spl.2008.03.024
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier B.V.
publisher.none.fl_str_mv Elsevier B.V.
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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