Modeling returns of stock indexes through fractional Brownian motion combined with jump processes and modulated by Markov chains

Research output: Contribution to journal › Article › peer-review

Original language	English
Journal	ESTOCÁSTICA: FINANZAS Y RIESGO
Volume	9
Issue number	2
State	Published - Dec 2019

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@article{8e5b1628e1d649b78cf52af4e8794466,

title = "Modeling returns of stock indexes through fractional Brownian motion combined with jump processes and modulated by Markov chains",

author = "{Mart{\'i}nez Garc{\'i}a}, {Miguel {\'A}ngel} and Martha Carpinteyro and {Venegas Mart{\'i}nez}, Francisco",

year = "2019",

month = dec,

language = "Ingl{\'e}s",

volume = "9",

journal = "ESTOC{\'A}STICA: FINANZAS Y RIESGO",

issn = "2007-5383",

number = "2",

}

TY - JOUR

T1 - Modeling returns of stock indexes through fractional Brownian motion combined with jump processes and modulated by Markov chains

AU - Martínez García, Miguel Ángel

AU - Carpinteyro, Martha

AU - Venegas Martínez, Francisco

PY - 2019/12

Y1 - 2019/12

M3 - Artículo

SN - 2007-5383

VL - 9

JO - ESTOCÁSTICA: FINANZAS Y RIESGO

JF - ESTOCÁSTICA: FINANZAS Y RIESGO

IS - 2

ER -