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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
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Irreversibility, mean reversion, and investment timing
Kit, Pong Wong; Yi, Long - In: Economic modelling 30 (2013), pp. 770-775
Persistent link: https://www.econbiz.de/10009708800
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Valuing flexibility : the case of an integrated gasification combined cycle power plant
Abadié Muñoz, Luis María; Chamorro, José-Maria - In: Energy economics 30 (2008) 4, pp. 1850-1881
Persistent link: https://www.econbiz.de/10003745329
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Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
Ewald, Christian-Oliver; Yang, Zhaojun - In: Mathematical methods of operations research 68 (2008) 1, pp. 97-123
Persistent link: https://www.econbiz.de/10003748388
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Optimal entry and exit decisions under uncertainty and the impact of mean reversion
Tvedt, Jostein - In: Operations research forum 3 (2022) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10013461934
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Probabilistic methods for financial and marketing informatics
Neapolitan, Richard E.; Jiang, Xia - 2007
Persistent link: https://www.econbiz.de/10003399176
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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
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Calibration of temperature futures by changing the mean reversion
Benth, Fred Espen; Ortiz-Latorre, Salvador - In: The journal of energy markets 10 (2017) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011999391
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Trading VIX futures under mean reversion with regime switching
Li, Jiao - In: International journal of financial engineering 3 (2016) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10011588132
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Persistence in the market risk premium : evidence across countries
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...
Persistent link: https://www.econbiz.de/10012199998