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Modeling financial time series through second order stochastic differential equations
João NicolauTo cite this version: This is a PDF file of an unedited manuscript that has been accepted for publication. As a service to our customers we are providing this early version of the manuscript. The manuscript will undergo copyediting, typesetting, and review of the resulting proof before it is published in its final form. Please note that during the production process errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain. Keywords: di¤usion processes, second order stochastic di¤erential equations.
A C C E P T E D M A N U S C R I P T ACCEPTED MANUSCRIPT
AbstractIn this paper we motivate the use of second order stochastic di¤erential equations in economics and …nance. We provide an empirical illustration and discuss a parametric second order stochastic di¤erential equation for stock prices and exchange rates.Postal address: ISEG,