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Crude oil market efficiency and modeling: Insights from the multiscaling autocorrelation patternALVAREZ-RAMIREZ, Jose; ALVAREZ, Jesus; SOLIS, Ricardo et al.Energy economics. 2010, Vol 32, Num 5, pp 993-1000, issn 0140-9883, 8 p.Article

Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative pricesKELES, Dogan; GENOESE, Massimo; MÖST, Dominik et al.Energy economics. 2012, Vol 34, Num 4, pp 1012-1032, issn 0140-9883, 21 p.Article

An hour-ahead prediction model for heavy-tailed spot pricesJAE HO KIM; POWELL, Warren B.Energy economics. 2011, Vol 33, Num 6, pp 1252-1266, issn 0140-9883, 15 p.Article

A critical empirical study of three electricity spot price modelsBENTH, Fred Espen; KIESEL, Rudiger; NAZAROVA, Anna et al.Energy economics. 2012, Vol 34, Num 5, pp 1589-1616, issn 0140-9883, 28 p.Article

Fitting semiparametric Markov regime-switching models to electricity spot pricesEICHLER, M; TUR, D.Energy economics. 2013, Vol 36, pp 614-624, issn 0140-9883, 11 p.Article

Modelling energy spot prices: Empirical evidence from NYMEXNOMIKOS, Nikos; ANDRIOSOPOULOS, Kostas.Energy economics. 2012, Vol 34, Num 4, pp 1153-1169, issn 0140-9883, 17 p.Article

Flex-fuel vehicle adoption and dynamics of ethanol prices: lessons from BrazilXIAODONG DU; CARRIQUIRY, Miguel A.Energy policy. 2013, Vol 59, pp 507-512, issn 0301-4215, 6 p.Article

Stochastic price modeling of high volatility, mean-reverting, spike-prone commodities : The Australian wholesale spot electricity marketHIGGS, Helen; WORTHINGTON, Andrew.Energy economics. 2008, Vol 30, Num 6, pp 3172-3185, issn 0140-9883, 14 p.Article

On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy marketsBENTH, Fred Espen; CHE MOHD IMRAN CHE TAIB.Energy economics. 2013, Vol 40, pp 259-268, issn 0140-9883, 10 p.Article

On pricing of credit spread optionsGIACOMETTI, Rosella; TEOCCHI, Mariangela.European journal of operational research. 2005, Vol 163, Num 1, pp 52-64, issn 0377-2217, 13 p.Conference Paper

Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatilityMEI CHOI CHIU; YU WAI LO; HOI YING WONG et al.Operations research letters. 2011, Vol 39, Num 4, pp 289-295, issn 0167-6377, 7 p.Article

Pricing CDO tranches in an intensity based model with the mean reversion approachWU, Jiang-Lun; WEI YANG.Mathematical and computer modelling. 2010, Vol 52, Num 5-6, pp 814-825, issn 0895-7177, 12 p.Article

Dynamic modeling of uncertainty in the planned values of investments in petrochemical and refining projectsMELQUIADES VIANELLO, Juliano; COSTA, Leticia; TEIXEIRA, José Paulo et al.Energy economics. 2014, Vol 45, pp 10-18, issn 0140-9883, 9 p.Article

Heterogeneous price dynamics in U.S. regional electricity marketsDIAS, José G; RAMOS, Sofia B.Energy economics. 2014, Vol 46, pp 453-463, issn 0140-9883, 11 p.Article

PAMR: Passive aggressive mean reversion strategy for portfolio selectionBIN LI; PEILIN ZHAO; HOI, Steven C. H et al.Machine learning. 2012, Vol 87, Num 2, pp 221-258, issn 0885-6125, 38 p.Article

Size and power of tests of stationarity in highly autocorrelated time seriesMÜLLER, Ulrich K.Journal of econometrics. 2005, Vol 128, Num 2, pp 195-213, issn 0304-4076, 19 p.Article

Valuing flexibility : The case of an Integrated Gasification Combined Cycle power plantABADIE, Luis M; CHAMORRO, José M.Energy economics. 2008, Vol 30, Num 4, pp 1850-1881, issn 0140-9883, 32 p.Article

Option pricing with mean reversion and stochastic volatilityHOI YING WONG; YU WAI LO.European journal of operational research. 2009, Vol 197, Num 1, pp 179-187, issn 0377-2217, 9 p.Article

Symmetry-based solution of a model for a combination of a risky investment and a riskless investmentLEACH, P. G. L; O'HARA, J. G; SINKALA, W et al.Journal of mathematical analysis and applications. 2007, Vol 334, Num 1, pp 368-381, issn 0022-247X, 14 p.Article

Bivariate Reversed Hazard Rate, Notions, and Measures of Dependence and their RelationshipsDOMMA, Filippo.Communications in statistics. Theory and methods. 2011, Vol 40, Num 4-6, pp 989-999, issn 0361-0926, 11 p.Article

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