Energy Commodity Prices: Is Mean-Reversion Dead?

被引：13
|
作者：
Geman, Helyette [1 ,2 ]
机构：
[1] Univ Paris 09, Finance, Paris, France
[2] ESSEC Business Sch, Cergy, France
来源：
JOURNAL OF ALTERNATIVE INVESTMENTS | 2005年 / 8卷 / 02期
关键词：
D O I：
10.3905/jai.2005.591576
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：31 / 45
页数：15
相关论文
共 50 条
  • [21] Forecasting income shares: are mean-reversion assumptions appropriate?
    Griffiths, David T.
    [J]. APPLIED ECONOMICS, 2007, 39 (21) : 2699 - 2711
  • [22] Rigorous Strategic Trading: Balanced Portfolio and Mean-Reversion
    Lehalle, Charles-Albert
    [J]. JOURNAL OF TRADING, 2009, 4 (03): : 40 - 46
  • [23] Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices
    Keles, Dogan
    Genoese, Massimo
    Moest, Dominik
    Fichtner, Wolf
    [J]. ENERGY ECONOMICS, 2012, 34 (04) : 1012 - 1032
  • [24] Mean-Reversion in REITs Discount to NAV & Risk Premium
    Patel, Kanak
    Pereira, Ricardo A. M. G.
    Zavodov, Kirill V.
    [J]. JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2009, 39 (03): : 229 - 247
  • [25] Is Eu-ETS future carbon price mean-reversion?
    Nanjing University of Information Science Technology, China
    不详
    [J]. J. Appl. Sci., 8 (1256-1260):
  • [26] Estimation for Partially Observed Mean-reversion Type Stochastic Systems
    Wei, Chao
    [J]. ENGINEERING LETTERS, 2020, 28 (01) : 255 - 261
  • [27] Price indices and nonlinear mean-reversion of real exchange rates
    Wu, Jyh-Lin
    Chen, Pei-Fen
    [J]. SOUTHERN ECONOMIC JOURNAL, 2006, 73 (02) : 461 - 471
  • [28] An Optimal Trading Rule Under a Switchable Mean-Reversion Model
    Duy Nguyen
    Jingzhi Tie
    Qing Zhang
    [J]. Journal of Optimization Theory and Applications, 2014, 161 : 145 - 163
  • [29] Are net discount ratios stationary? Evidence of mean-reversion and persistence
    Hays, P
    Schreiber, M
    Payne, JR
    Ewing, BT
    Piette, MJ
    [J]. JOURNAL OF RISK AND INSURANCE, 2000, 67 (03) : 439 - 449
  • [30] An Optimal Trading Rule Under a Switchable Mean-Reversion Model
    Nguyen, Duy
    Tie, Jingzhi
    Zhang, Qing
    [J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2014, 161 (01) : 145 - 163
12345