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Bias in the estimation of mean reversion in continuous-time Lévy processes
Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun - In: Economics letters 134 (2015), pp. 16-19
Persistent link: https://www.econbiz.de/10011432138
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Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes
Benth, Fred Espen; Blanco, Sara Ana Solanilla - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011403202
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Stochastic dynamical modelling of spot freight rates
Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297
Persistent link: https://www.econbiz.de/10011405425
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Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
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Hilbert transform, spectral filters and option pricingh
Phelan, Carolyn E.; Marazzina, Daniele; Fusai, Gianluca; … - In: Application of operations research to financial markets, (pp. 273-298). 2019
Persistent link: https://www.econbiz.de/10012157552
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Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016
Persistent link: https://www.econbiz.de/10011800392
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The shape of the loss curve and the impact of long-range dependence on network performance
Mandjes, Michel; Boots, Nam Kyoo - 2001
Empirical studies showed that many types of network traffic exhibit long-range dependence (LRD),i.e., burstiness on a wide variety of time-scales. Given that traffic streams are indeed endowed withLRD properties, a next question is: what is their impact on network performance? To assess...
Persistent link: https://www.econbiz.de/10011316864
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Clustering of arrivals in queueing systems : autoregressive conditional duration approach
Tomanová, Petra; Holý, Vladimír - In: Central European journal of operations research 29 (2021) 3, pp. 859-874
Persistent link: https://www.econbiz.de/10012587718
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Forecasting electricity price in Colombia : a comparison between neural network, ARMA process and hybrid models
Barrientos, Jorge Hugo; Orozco, Elkin Tabares; Velilla, … - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 3, pp. 97-106
Persistent link: https://www.econbiz.de/10011881289
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The correlation integral and the independence of Gaussian and related processes
Dechert, W. Davis - 1994 - Rev
Persistent link: https://www.econbiz.de/10000896409