A new definition for time-dependent price mean reversion in commodity markets

被引：1
|
作者：
Kocagil, AE
Swanson, NR
Zeng, T
机构：
[1] Texas A&M Univ, Dept Econ, College Stn, TX 77843 USA
[2] Penn State Univ, University Pk, PA 16802 USA
[3] Aeltus Investment Management Inc, Hartford, CT USA
来源：
ECONOMICS LETTERS | 2001年 / 71卷 / 01期
关键词：
mean reversion; anticipated spot prices; forecastability; futures prices; term structure; hedging; interest rate; shocks; convenience yield shocks;
D O I：
10.1016/S0165-1765(00)00397-9
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this note we propose a time-dependent definition of mean reversion, and empirically compare our definition with two former definitions, We show that the incidence of mean reversion is approximately 30-40% less under the new and more robust definition. (C) 2001 Elsevier Science BN. All rights reserved.
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页码：9 / 16
页数：8
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