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...

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Autori principali:	Martha Carpinteyro, Francisco Venegas-Martínez, Alí Aali-Bujari
Natura:	Artigo
Lingua:	Inglês
Pubblicazione:	MDPI AG 2021-02-01
Serie:	Mathematics
Soggetti:	precious metals returns stochastic modeling jump-diffusion processes Markov regime switching stochastic volatility
Accesso online:	https://www.mdpi.com/2227-7390/9/4/407
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