Modeling Precious Metal Returns through Fractional Jump-Diffusion Processes Combined with Markov Regime-Switching Stochastic Volatility
This paper is aimed at developing a stochastic volatility model that is useful to explain the dynamics of the returns of gold, silver, and platinum during the period 1994–2019. To this end, it is assumed that the precious metal returns are driven by fractional Brownian motions, combined with Poisson...
Kaydedildi:
| Asıl Yazarlar: | , , |
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| Materyal Türü: | Artigo |
| Dil: | Inglês |
| Baskı/Yayın Bilgisi: |
MDPI AG
2021-02-01
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| Seri Bilgileri: | Mathematics |
| Konular: | |
| Online Erişim: | https://www.mdpi.com/2227-7390/9/4/407 |
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