Stochastic processes provide a probabilistic framework to model the time-evolving uncertainty intrinsic to financial markets. By characterising random movements such as asset prices, interest rates ...

This is a preview. Log in through your library . Abstract The spectral multiplicity and spectral type of a class of stochastic processes which arise as the output of causal, linear filters with white ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...