Matches in SemOpenAlex for { <https://semopenalex.org/work/W960245855> ?p ?o ?g. }
- W960245855 abstract "We generalize the Ornstein-Uhlenbeck (OU ) process using the Doob’s theorem. We relax the Gaussian and stationary conditions, assuming a linear and timehomogeneous process. The proposed generalization retains much of the simplicity of the original stochastic process, while exhibiting a somewhat richer behavior. Analytical results are obtained using transition probability and the characteristic function formalism and compared with empirical stock market daily data, which are notorious for the non-stationary and non-Gaussian behavior. The analysis focus on the decay patterns and the convergence study of the first four cumulants considering the logarithmic returns of stock prices. It is shown that the proposed model offers a good improvement over the classical OU model." @default.
- W960245855 created "2016-06-24" @default.
- W960245855 creator A5017678091 @default.
- W960245855 date "2012-10-29" @default.
- W960245855 modified "2023-09-27" @default.
- W960245855 title "Generalização do processo de Ornstein-Uhlenbeck pelo teorema de Doob e a evolução temporal em séries financeiras" @default.
- W960245855 cites W1481161909 @default.
- W960245855 cites W1503295912 @default.
- W960245855 cites W1506954757 @default.
- W960245855 cites W1525941339 @default.
- W960245855 cites W1527849298 @default.
- W960245855 cites W1557758852 @default.
- W960245855 cites W1580561995 @default.
- W960245855 cites W1585731597 @default.
- W960245855 cites W1591710988 @default.
- W960245855 cites W1642251103 @default.
- W960245855 cites W1667165204 @default.
- W960245855 cites W195469315 @default.
- W960245855 cites W1971773540 @default.
- W960245855 cites W1973576099 @default.
- W960245855 cites W2008277779 @default.
- W960245855 cites W2010997253 @default.
- W960245855 cites W2017032949 @default.
- W960245855 cites W2017277760 @default.
- W960245855 cites W2017722987 @default.
- W960245855 cites W2024296014 @default.
- W960245855 cites W2036639511 @default.
- W960245855 cites W2038427608 @default.
- W960245855 cites W2045131694 @default.
- W960245855 cites W2052823930 @default.
- W960245855 cites W2053333723 @default.
- W960245855 cites W2076057077 @default.
- W960245855 cites W2076209196 @default.
- W960245855 cites W2077250869 @default.
- W960245855 cites W2085125074 @default.
- W960245855 cites W2090166045 @default.
- W960245855 cites W2090353374 @default.
- W960245855 cites W2092270670 @default.
- W960245855 cites W2093344182 @default.
- W960245855 cites W2102787760 @default.
- W960245855 cites W2112540217 @default.
- W960245855 cites W2117201183 @default.
- W960245855 cites W2128832002 @default.
- W960245855 cites W2131039458 @default.
- W960245855 cites W2136913207 @default.
- W960245855 cites W2138197227 @default.
- W960245855 cites W2144435931 @default.
- W960245855 cites W2160024771 @default.
- W960245855 cites W2170316986 @default.
- W960245855 cites W2172298389 @default.
- W960245855 cites W2751555667 @default.
- W960245855 cites W2751862591 @default.
- W960245855 cites W3021722416 @default.
- W960245855 cites W3122996048 @default.
- W960245855 cites W3124784323 @default.
- W960245855 cites W573754218 @default.
- W960245855 cites W639170630 @default.
- W960245855 cites W970469288 @default.
- W960245855 hasPublicationYear "2012" @default.
- W960245855 type Work @default.
- W960245855 sameAs 960245855 @default.
- W960245855 citedByCount "0" @default.
- W960245855 crossrefType "journal-article" @default.
- W960245855 hasAuthorship W960245855A5017678091 @default.
- W960245855 hasConcept C105795698 @default.
- W960245855 hasConcept C110405555 @default.
- W960245855 hasConcept C121332964 @default.
- W960245855 hasConcept C121864883 @default.
- W960245855 hasConcept C134306372 @default.
- W960245855 hasConcept C163716315 @default.
- W960245855 hasConcept C172686274 @default.
- W960245855 hasConcept C28826006 @default.
- W960245855 hasConcept C31634936 @default.
- W960245855 hasConcept C33923547 @default.
- W960245855 hasConcept C39927690 @default.
- W960245855 hasConcept C60391097 @default.
- W960245855 hasConcept C61326573 @default.
- W960245855 hasConcept C62520636 @default.
- W960245855 hasConcept C8272713 @default.
- W960245855 hasConcept C88757350 @default.
- W960245855 hasConceptScore W960245855C105795698 @default.
- W960245855 hasConceptScore W960245855C110405555 @default.
- W960245855 hasConceptScore W960245855C121332964 @default.
- W960245855 hasConceptScore W960245855C121864883 @default.
- W960245855 hasConceptScore W960245855C134306372 @default.
- W960245855 hasConceptScore W960245855C163716315 @default.
- W960245855 hasConceptScore W960245855C172686274 @default.
- W960245855 hasConceptScore W960245855C28826006 @default.
- W960245855 hasConceptScore W960245855C31634936 @default.
- W960245855 hasConceptScore W960245855C33923547 @default.
- W960245855 hasConceptScore W960245855C39927690 @default.
- W960245855 hasConceptScore W960245855C60391097 @default.
- W960245855 hasConceptScore W960245855C61326573 @default.
- W960245855 hasConceptScore W960245855C62520636 @default.
- W960245855 hasConceptScore W960245855C8272713 @default.
- W960245855 hasConceptScore W960245855C88757350 @default.
- W960245855 hasLocation W9602458551 @default.
- W960245855 hasOpenAccess W960245855 @default.
- W960245855 hasPrimaryLocation W9602458551 @default.
- W960245855 isParatext "false" @default.