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~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"mean reverting"
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Mean Reversion
265
Mean reversion
265
Theorie
100
Theory
100
Option pricing theory
58
Optionspreistheorie
58
Börsenkurs
56
Share price
56
Stochastic process
56
Stochastischer Prozess
56
Estimation
55
Schätzung
55
Volatility
54
Volatilität
54
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37
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37
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30
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mean reversion
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23
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Derivat
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Random Walk
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Welt
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World
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Article
337
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Aufsatz in Zeitschrift
Article in journal
337
Working Paper
94
Graue Literatur
92
Non-commercial literature
92
Arbeitspapier
88
Aufsatz im Buch
19
Book section
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Hochschulschrift
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Thesis
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Collection of articles written by one author
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Sammlung
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Gil-Alaña, Luis A.
14
Leung, Tim
7
Wong, Hoi Ying
5
Baharumshah, Ahmad Zubaidi
3
Bao, Yong
3
Kim, Hyeongwoo
3
Li, Xin
3
Madan, Dilip B.
3
Mukherji, Sandip
3
Ranjbar, Omid
3
Shaik, Muneer
3
Smyth, Russell
3
Tiwari, Aviral Kumar
3
Ullah, Aman
3
Arize, Augustine Chuck
2
Bali, Turan G.
2
Caporale, Guglielmo Maria
2
Chang, Hao
2
Chung, Shing Fung
2
Cummins, Mark
2
Cuñado Eizaguirre, Juncal
2
Demirtas, K. Ozgur
2
Dokučaev, Nikolaj G.
2
Faff, Robert W.
2
Funahashi, Hideharu
2
Gibson, John K.
2
Hart, Chad E.
2
Hayes, Dermot James
2
Holmes, Mark J.
2
Hooi Hooi Lean
2
Infante, Juan
2
Kiely, Greg
2
Kim, Bonggeun
2
Kim, Jae H.
2
Lee, Chi-Chuan
2
Lee, Chien-chiang
2
Lence, Sergio H.
2
Leybourne, Stephen James
2
Li, Jiao
2
Lo, C. F.
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International journal of theoretical and applied finance
13
Economic modelling
10
Journal of banking & finance
10
Applied economics
9
International journal of financial engineering
8
Applied mathematical finance
7
The journal of futures markets
7
International review of economics & finance : IREF
6
Journal of mathematical finance
6
Applied economics letters
5
Economics letters
5
European journal of operational research : EJOR
5
Risks : open access journal
5
The European journal of finance
5
Applied financial economics
4
Insurance / Mathematics & economics
4
Journal of empirical finance
4
Quantitative finance
4
Computational economics
3
Computers & operations research : and their applications to problems of world concern ; an international journal
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Finance research letters
3
IMA journal of management mathematics
3
International review of financial analysis
3
Journal of financial and quantitative analysis : JFQA
3
Journal of money, credit and banking : JMCB
3
Research in international business and finance
3
Review of quantitative finance and accounting
3
The North American journal of economics and finance : a journal of financial economics studies
3
The financial review : the official publication of the Eastern Finance Association
3
The journal of asset management
3
The journal of energy markets
3
The journal of real estate finance and economics
3
American journal of agricultural economics
2
Asia-Pacific financial markets
2
Computational Management Science : CMS
2
East Asian economic review
2
Econometric reviews
2
Energy economics
2
European economic review : EER
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ECONIS (ZBW)
337
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51
Pairs trading with general state space models
Zhang, Guang
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1567-1587
Persistent link: https://www.econbiz.de/10012624158
Saved in:
52
Fast pricing of energy derivatives with
mean-reverting
jump-diffusion processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
53
Long-run reversal in commodity returns : insights from seven centuries of evidence
Zaremba, Adam
;
Bianchi, Robert
;
Mikutowski, Mateusz
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013256444
Saved in:
54
Efficient computation of
mean
reverting
portfolios using cyclical coordinate descent
Griveau-Billion, T.
;
Calderhead, Ben
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 673-684
Persistent link: https://www.econbiz.de/10012483845
Saved in:
55
Effective stochastic volatility : applications to ZABR-type models
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 837-852
Persistent link: https://www.econbiz.de/10012500196
Saved in:
56
Analyzing the hysteresis properties and growth stability of renewable energy production of the U.S.
Lee, Chien-chiang
;
Ranjbar, Omid
;
Lee, Chi-Chuan
- In:
Applied economics
53
(
2021
)
24
,
pp. 2752-2770
Persistent link: https://www.econbiz.de/10012501412
Saved in:
57
Modelling the Shiller CAPE ratio, mean reversion, and return forecasts
Waser, Otto
- In:
The journal of portfolio management : JPM
47
(
2021
)
3
,
pp. 155-171
Persistent link: https://www.econbiz.de/10012423072
Saved in:
58
Firms in financial distress : evidence from inter-firm payment networks with volatility driven by "animal spirits"
Stellian, Rémi
;
Penagos, Gabriel I.
;
Danna-Buitrago, …
- In:
Journal of economic interaction and coordination
16
(
2021
)
1
,
pp. 59-101
Persistent link: https://www.econbiz.de/10012428416
Saved in:
59
Boom-bust housing price dynamic : the case of Malaysia
Yip, Chee Yin
;
Woo Kok Hoong
;
Oon Kam Hoe
;
Nabihah …
- In:
International journal of economics and financial issues …
7
(
2017
)
4
,
pp. 132-138
Persistent link: https://www.econbiz.de/10011823183
Saved in:
60
Gas storage valuation under Lévy processes using the fast Fourier transform
Cummins, Mark
;
Kiely, Greg
;
Murphy, Bernard
- In:
The journal of energy markets
10
(
2017
)
4
,
pp. 43-86
Persistent link: https://www.econbiz.de/10011999471
Saved in:
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