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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
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97
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mean reversion
33
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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
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4
Bobenrieth H., Eugenio S.
4
Bobenrieth H., Juan R. A.
4
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4
Chort, Isabelle
4
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4
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4
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4
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4
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4
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4
Madan, Dilip B.
4
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4
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4
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4
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4
Ullah, Aman
4
Wang, Zheng
4
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4
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4
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3
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3
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3
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3
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3
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3
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3
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6
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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
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Insurance / Mathematics & economics
4
Insurance: Mathematics and Economics
4
Journal of empirical finance
4
Quantitative finance
4
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4
Applied Mathematical Finance
3
Computational economics
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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
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ECONIS (ZBW)
568
RePEc
50
EconStor
9
BASE
2
Other ZBW resources
2
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271
Leveraged investments and agency conflicts when cash flows are
mean
reverting
Glover, Kristoffer J.
;
Hambusch, Gerhard
- In:
Journal of economic dynamics & control
67
(
2016
),
pp. 1-21
Persistent link: https://www.econbiz.de/10011708382
Saved in:
272
Statistical arbitrage with pairs trading
Göncü, Ahmet
;
Akyıldırım, Erdinç
- In:
International review of finance
16
(
2016
)
2
,
pp. 307-319
Persistent link: https://www.econbiz.de/10011713715
Saved in:
273
On Existence of Moment of Mean Reversion Estimator in Linear Diffusion Models
Bao, Yong
-
2016
In this note it is shown that the expectation of the usual MLE estimator of the mean-reversion parameter in linear diffusion models does not exist. However, the moment does exist conditionally on the estimator of the autoregressive parameter in the discretized model being positive
Persistent link: https://www.econbiz.de/10012998097
Saved in:
274
Integrating Econometrics Models in Real Option Valuation of Coal Mining Projects
Shahriar Shafiee
-
2010
coal prices introduces a new version of the classical
mean
reverting
model. The key characteristic of this new model is the …
Persistent link: https://www.econbiz.de/10009448410
Saved in:
275
Mean reversion in profitability for non-listed firms
Nordal, Kjell Bjørn
;
Næs, Randi
-
2010
Persistent link: https://www.econbiz.de/10003920244
Saved in:
276
The term structure of risk premia : new evidence from the financial crisis
Berg, Tobias
-
2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10003971282
Saved in:
277
Mean reversion in international stock markets : an empirical analysis of the 20th Century
Spierdijk, Laura
;
Bikker, Jacob A.
;
Hoek, Pieter van den
-
2010
Persistent link: https://www.econbiz.de/10003954433
Saved in:
278
Testing the Box-Cox parameter for an integrated process
Huang, Jian
;
Kobayashi, Masahito
-
2010
-
Rev.
expressed as an integral of Brownian motions, when the data generating process is not
mean
reverting
. However, it is shown that …
Persistent link: https://www.econbiz.de/10008840787
Saved in:
279
Labor-force participation rates and the informal value of unemployment rates : evidence from disaggregated US data
Gustavsson, Magnus
;
Österholm, Pär
-
2010
The informational value of the aggregate US unemployment rate has recently been questioned because of a unit root in the labor-force participation rate; the lack of mean reversion implies that long-run changes in unemployment rates are highly unlikely to reflect long-run changes in joblessness....
Persistent link: https://www.econbiz.de/10008656701
Saved in:
280
Default risk in stochastic volatility models
Gersbach, Hans
;
Surulescu, Nicolae Mircea
-
2010
-
This version: June 2010
We consider a stochastic volatility model of the
mean-reverting
type to describe the evolution of a firm’s values …
Persistent link: https://www.econbiz.de/10008748331
Saved in:
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