Bernard, Jean-Thomas; Khalaf, Lynda; Kichian, Maral; … - Groupe de recherche en économie de l'énergie, de … - 2008
in the literature, namely mean-reversion, with focus on forecast performance. Because of their impact on mean … student-t innovations, and (iii) mean-reverting models that allow for uncertainty in equilibrium price and for time … reversion to a continuously evolving mean underscores the importance of adequately modeling the connvenience yield. …