1 citations · 1 across the 4 of their papers we have counts for
4 papers
Non-linear Time Series and Artificial Neural Networks of Red Hat Volatility
José Igor Morlanes
We extend the empirical results published in article "Empirical Evidence on Arbitrage by Changing the Stock Exchange" by means of machine learning and advanced econometric methodol…
Mixed Models as an Alternative to Farima
José Igor Morlanes
We construct a new process using a fractional Brownian motion and a fractional Ornstein-Uhlenbeck process of the Second Kind as building blocks. We consider the increments of the n…
Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the Second Kind
Ehsan Azmoodeh, Jose Igor Morlanes
Fractional Ornstein-Uhlenbeck process of the second kind is solution of the Langevin equation wit…
Initial Enlargement in a Markov chain market model
Dario Gasbarra, José Igor Morlanes, Esko Valkeila
Enlargement of filtrations is a classical topic in the general theory of stochastic processes. This theory has been applied to stochastic finance in order to analyze models with in…