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Search: subject:"mean reverting"
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Mean Reversion
484
Mean reversion
484
Theorie
183
Theory
181
Estimation
107
Schätzung
107
Börsenkurs
97
Share price
97
Volatility
88
Volatilität
88
Zeitreihenanalyse
83
Stochastischer Prozess
82
Time series analysis
82
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81
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78
Portfolio selection
77
Option pricing theory
74
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74
Capital income
73
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73
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68
United States
68
Einheitswurzeltest
47
Unit root test
47
Aktienmarkt
46
Stock market
46
Kaufkraftparität
37
Purchasing power parity
37
Welt
35
World
35
Anlageverhalten
34
Behavioural finance
34
mean reversion
33
Derivat
32
Derivative
32
Efficient market hypothesis
28
Effizienzmarkthypothese
28
Random Walk
26
Random walk
26
CAPM
25
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204
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158
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Article
399
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231
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1
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339
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94
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92
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92
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88
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20
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20
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18
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English
575
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43
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13
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1
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Gil-Alaña, Luis A.
22
Leung, Tim
16
Caporale, Guglielmo Maria
11
Li, Xin
7
Spierdijk, Laura
7
Stein, Jeremy C.
7
Lange, Rutger-Jan
6
Teulings, Coen N.
6
Wong, Hoi Ying
6
Fabozzi, Frank J.
5
Bao, Yong
4
Bikker, Jacob A.
4
Bobenrieth H., Eugenio S.
4
Bobenrieth H., Juan R. A.
4
Boltz, Marie
4
Chort, Isabelle
4
Glaeser, Edward L.
4
Holmes, Mark J.
4
Kanamura, Takashi
4
Kim, Bonggeun
4
Kim, Hyeongwoo
4
Li, Jiao
4
Madan, Dilip B.
4
Narayan, Paresh Kumar
4
Neaime, Simon
4
Papanicolaou, George
4
Smyth, Russell
4
Ullah, Aman
4
Wang, Zheng
4
Wright, Brian D.
4
Zakrajšek, Egon
4
Albrecht, Peter
3
Baharumshah, Ahmad Zubaidi
3
Bikker, Jacob Antoon
3
Canarella, Giorgio
3
Chen, Hong-Yi
3
Chung, Shing Fung
3
Dias, Daniel
3
Dionne, Georges
3
Gibson, John K.
3
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National Bureau of Economic Research
6
HAL
3
Department of Economics and Related Studies, University of York
2
EconWPA
2
Queen Mary College / Department of Economics
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Agricultural and Applied Economics Association - AAEA
1
Carleton University / Department of Economics
1
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Duale Hochschule Baden-Württemberg Stuttgart
1
Erasmus Research Institute of Management
1
Fakultät für Wirtschaftswissenschaft, Otto-von-Guericke-Universität Magdeburg
1
Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie
1
Fakultät für Wirtschaftswissenschaften, Technische Universität München
1
Graduate School of Economics, Kyoto University
1
Hong Kong Monetary Authority
1
Institut for Nationaløkonomi <Kopenhagen>
1
Institut for Virksomhedsledelse og Økonomi, Syddansk Universitet
1
Institut für Weltwirtschaft
1
Institut für Wirtschaftsforschung Halle
1
Instituto Valenciano de Investigaciones Económicas (IVIE)
1
Technische Universität Kaiserslautern
1
University of Connecticut / Department of Economics
1
Universität Bremen / Fachbereich Wirtschaftswissenschaft
1
Verlag Dr. Hut <München>
1
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International journal of theoretical and applied finance
13
Economic modelling
10
Journal of banking & finance
10
Applied economics
9
Applied mathematical finance
8
International journal of financial engineering
8
The journal of futures markets
7
Working paper / National Bureau of Economic Research, Inc.
7
CESifo working papers
6
International review of economics & finance : IREF
6
Journal of mathematical finance
6
Applied economics letters
5
Applied financial economics
5
Economics letters
5
European journal of operational research : EJOR
5
NBER Working Paper
5
NBER working paper series
5
Risks : open access journal
5
The European journal of finance
5
Discussion paper / Centre for Economic Policy Research
4
Insurance / Mathematics & economics
4
Insurance: Mathematics and Economics
4
Journal of empirical finance
4
Quantitative finance
4
Working paper
4
Applied Mathematical Finance
3
Computational economics
3
Computers & operations research : and their applications to problems of world concern ; an international journal
3
DNB working paper
3
De Nederlandsche Bank Working Paper
3
Economics and finance working paper series
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
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ECONIS (ZBW)
568
RePEc
50
EconStor
9
BASE
2
Other ZBW resources
2
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171
Mean reversion in international markets : evidence from G.A.R.C.H. and half-life volatility models
Ahmed, Rizwan Raheem
;
Vveinhardt, Jolita
; …
- In:
Economic research
31
(
2018
)
1,2
,
pp. 1198-1217
Persistent link: https://www.econbiz.de/10012391404
Saved in:
172
Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations
Isaenko, Sergei
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 2051-2065
Persistent link: https://www.econbiz.de/10012262965
Saved in:
173
Pairs trading techniques : an empirical contrast
Carrasco Blázquez, Mario
;
Cruz, Ma del Carmen de la …
- In:
European research on management and business economics
24
(
2018
)
3
,
pp. 160-167
Persistent link: https://www.econbiz.de/10012051701
Saved in:
174
Maximal predictability under long-term mean reversion
Hjalmarsson, Erik
- In:
Journal of empirical finance
45
(
2018
),
pp. 269-282
Persistent link: https://www.econbiz.de/10012102446
Saved in:
175
Asymmetric mean reversion and volatility in African real exchange rates
Kuttu, Saint
- In:
Journal of economics and finance
42
(
2018
)
3
,
pp. 575-590
Persistent link: https://www.econbiz.de/10012031091
Saved in:
176
A scaled version of the double-
mean-reverting
model for VIX derivatives
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 495-515
Persistent link: https://www.econbiz.de/10011963875
Saved in:
177
Gas storage valuation under multifactor Lévy processes
Cummins, Mark
;
Kiely, Greg
;
Murphy, Bernard
- In:
Journal of banking & finance
95
(
2018
),
pp. 167-184
Persistent link: https://www.econbiz.de/10011966740
Saved in:
178
Government connections and the persistence of profitability : evidence from Chinese listed firms
Liu, Li
;
Liu, Qigui
;
Tian, Gary Gang
;
Wang, Peipei
- In:
Emerging markets review
36
(
2018
),
pp. 110-129
Persistent link: https://www.econbiz.de/10012114860
Saved in:
179
Long memory and mean reversion in real exchange rates in Latin America
Gil-Alaña, Luis A.
;
Sauci, Laura
- In:
Applied economics
50
(
2018
)
29
,
pp. 3148-3155
Persistent link: https://www.econbiz.de/10012037549
Saved in:
180
On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.
;
Brockhaus, Oliver
;
Dubois, Mathieu
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
Saved in:
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