Works matching DE "MEAN reversion theory"

Results: 103

Preservation of structural properties of the CIR model by θ-Milstein schemes.

Published in:

Monte Carlo Methods & Applications, 2025, v. 31, n. 2, p. 163, doi. 10.1515/mcma-2025-2009

By:

Llamazares-Elias, Samir;
Tocino, Ángel Andrés

Publication type:

Article

Expected lifetime range ratio to find mean reversion: Evidence from Indian stock market.

Published in:

Cogent Economics & Finance, 2018, v. 6, n. 1, p. 1, doi. 10.1080/23322039.2018.1475926

By:

Shaik, Muneer;
Maheswaran, S.

Publication type:

Article

On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process.

Published in:

Stochastic Models, 2014, v. 30, n. 2, p. 143, doi. 10.1080/15326349.2014.900376

By:

Veestraeten, Dirk

Publication type:

Article

Mean-reversion in closed-end fund discount: evidence from half-life.

Published in:

Applied Economics, 2013, v. 45, n. 32, p. 4503, doi. 10.1080/00036846.2013.791019

By:

Inyeob Ji, Philip;
Sangbae Kim

Publication type:

Article

Mean-reversion in closed-end fund discount: evidence from half-life.

Published in:

Applied Economics, 2013, v. 45, n. 31, p. 4503, doi. 10.1080/00036846.2013.791019

By:

Ji, Philip Inyeob;
Kim, Sangbae

Publication type:

Article

Are the Global REIT Markets Efficient by a New Approach?

Published in:

Panoeconomicus, 2013, v. 60, n. 6, p. 743, doi. 10.2298/PAN1306743F

By:

Hao Fang;
Yen-Hsien Lee

Publication type:

Article

Unemployment in Africa: A Fractional Integration Approach.

Published in:

South African Journal of Economics, 2018, v. 86, n. 1, p. 76, doi. 10.1111/saje.12178

By:

Caporale, Guglielmo Maria;
Gil‐Alana, Luis Alberiko

Publication type:

Article

Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data.

Published in:

Manchester School (1463-6786), 2019, v. 87, n. 1, p. 24, doi. 10.1111/manc.12213

By:

Gil‐Alana, Luis Alberiko;
Gupta, Rangan

Publication type:

Article

Portfolio Rebalancing Error with Jumps and Mean Reversion in Asset Prices.

Published in:

Stochastic Systems, 2011, v. 1, n. 1, p. 109, doi. 10.1287/10-SSY015

By:

Glasserman, Paul;
Xu, Xingbo

Publication type:

Article

Volatility-Related Exchange Traded Assets: An Econometric Investigation.

Published in:

Journal of Business & Economic Statistics, 2018, v. 36, n. 4, p. 599, doi. 10.1080/07350015.2016.1216852

By:

Mencía, Javier;
Sentana, Enrique

Publication type:

Article

Why Frequency Matters for Unit Root Testing in Financial Time Series.

Published in:

Journal of Business & Economic Statistics, 2012, v. 30, n. 3, p. 351, doi. 10.1080/07350015.2011.648858

By:

Boswijk, H.Peter;
Klaassen, Franc

Publication type:

Article

PRICEMEANREVERSION, SEASONALITY, ANDOPTIONSMARKETS.

Published in:

American Journal of Agricultural Economics, 2016, v. 98, n. 3, p. 707, doi. 10.1093/ajae/aav045

By:

HART, CHAD E.;
LENCE, SERGIO H.;
HAYES, DERMOT J.;
NA JIN

Publication type:

Article

The Disappearing Aggregate Ratchet Effect.

Published in:

Banking & Finance Review, 2018, v. 10, n. 1, p. 61

By:

Wann, Christi R.;
Long, D. Michael

Publication type:

Article

The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices.

Published in:

Review of Quantitative Finance & Accounting, 2017, v. 48, n. 3, p. 819, doi. 10.1007/s11156-016-0569-x

By:

Hsu, Chih-Chen;
Chen, An-Sing;
Lin, Shih-Kuei;
Chen, Ting-Fu

Publication type:

Article

THEORETICAL MODEL FOR ELECTRICITY MARKET PRICE FORECASTING.

Published in:

Economics & Management, 2012, v. 17, n. 3, p. 944, doi. 10.5755/j01.em.17.3.2119

By:

Bobinaitė, Viktorija;
Konstantinavičiūtė, Inga;
Lekavičius, Vidas

Publication type:

Article

Searching for the P/E Mean Reversion Affinity - An Application of the Flexible Fourier Approximation.

Published in:

Journal of Business Inquiry: Research, Education & Application, 2017, v. 16, n. 2, p. 102

By:

MOGHADDAM, MASOUD;
YUE LI

Publication type:

Article

The behavior of external debt in Asian countries: evidence based on panel unit root tests.

Published in:

Journal of Business Economics & Management, 2013, v. 14, p. S377, doi. 10.3846/16111699.2012.720589

By:

Lau, Evan;
Baharumshah, Ahmad Zubaidi;
Soon, Siew-Voon

Publication type:

Article

The behavior of external debt in Asian countries: evidence based on panel unit root tests.

Published in:

Journal of Business Economics & Management, 2013, v. 14, p. S377, doi. 10.3846/16111699.2012.720589

By:

Lau, Evan;
Baharumshah, Ahmad Zubaidi;
Soon, Siew-Voon

Publication type:

Article

A Unique and Stable SeCure Reversion Protocol Improving Efficiency: A Computational Bayesian Approach for Empirical Analysis.

Published in:

Computational Economics, 2018, v. 52, n. 1, p. 1, doi. 10.1007/s10614-017-9646-z

By:

Wanko, Cédric

Publication type:

Article

On the Market Selection Hypothesis in a Mean Reverting Environment.

Published in:

Computational Economics, 2014, v. 44, n. 1, p. 101, doi. 10.1007/s10614-013-9400-0

By:

Barucci, Emilio;
Casna, Marco

Publication type:

Article

Five Years of Phase Space Dynamics of the Standard & Poor's 500.

Published in:

Applied Mathematics & Nonlinear Sciences, 2019, v. 4, n. 1, p. 209, doi. 10.2478/AMNS.2019.1.00019

By:

Smirnov, Veniamin;
Volchenkov, Dimitri

Publication type:

Article

RECOVERY OF LOCAL VOLATILITY FOR FINANCIAL ASSETS WITH MEAN-REVERTING PRICE PROCESSES.

Published in:

Mathematical Control & Related Fields, 2018, v. 8, n. 3/4, p. 625, doi. 10.3934/mcrf.2018026

By:

Chen, Qihong

Publication type:

Article

AN OPTIMAL MEAN-REVERSION TRADING RULE UNDER A MARKOV CHAIN MODEL.

Published in:

Mathematical Control & Related Fields, 2016, v. 6, n. 3, p. 467, doi. 10.3934/mcrf.2016012

By:

JINGZHI TIE;
QING ZHANG

Publication type:

Article

STOCK TRADING RULES UNDER A SWITCHABLE MARKET.

Published in:

Mathematical Control & Related Fields, 2013, v. 3, n. 2, p. 209, doi. 10.3934/mcrf.2013.3.209

By:

DUY NGUYEN;
JINGZHI TIE;
QING ZHANG

Publication type:

Article

Random Walk in the MIST.

Published in:

Journal of Asia-Pacific Business, 2015, v. 16, n. 2, p. 92, doi. 10.1080/10599231.2015.1028303

By:

Yang, Ginny Ju-Ann;
Lee, Chingnun;
Lee, Chen-Hsun

Publication type:

Article

An introduction to oil market volatility analysis.

Published in:

OPEC Energy Review, 2013, v. 37, n. 3, p. 247, doi. 10.1111/opec.12007

By:

Matar, Walid;
Al ‐ Fattah, Saud M.;
Atallah, Tarek;
Pierru, Axel

Publication type:

Article

DISPOSITION EFFECT AMONG BRAZILIAN EQUITY FUND MANAGERS.

Published in:

RAE: Revista de Administração de Empresas, 2015, v. 55, n. 1, p. 26, doi. 10.1590/S0034-759020150104

By:

POZZI LUCCHESI, EDUARDO;
EMIKO YOSHINAGA, CLAUDIA;
FIGUEIREDO DE CASTRO JUNIOR, FRANCISCO HENRIQUE

Publication type:

Article

Modelling nonlinearities in equity returns: the mean impact curve analysis.

Published in:

Studies in Nonlinear Dynamics & Econometrics, 2014, v. 18, n. 1, p. 51, doi. 10.1515/snde-2012-0030

By:

Martin, Vance L.;
Sarkar, Saikat;
Kanto, Antti Jaakko

Publication type:

Article

Persistence in real exchange rate convergence.

Published in:

Studies in Nonlinear Dynamics & Econometrics, 2014, v. 18, n. 1, p. 73, doi. 10.1515/snde-2012-0039

By:

Stengos, Thanasis;
Yazgan, M. Ege

Publication type:

Article

Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity.

Published in:

Studies in Nonlinear Dynamics & Econometrics, 2012, v. 16, n. 5, p. -1, doi. 10.1515/1558-3708.1872

By:

Tsong, Ching-Chuan

Publication type:

Article

Speculative Futures Trading under Mean Reversion.

Published in:

Asia-Pacific Financial Markets, 2016, v. 23, n. 4, p. 281, doi. 10.1007/s10690-016-9215-9

By:

Leung, Tim;
Li, Jiao;
Li, Xin;
Wang, Zheng

Publication type:

Article

Public Disclosure and its Impact on CEO Compensation: Evidence of Media Influence.

Published in:

Journal of Global Awareness, 2024, v. 5, n. 2, p. 1, doi. 10.24073/jga/5/02/09

By:

Xin Zhao

Publication type:

Article

REVERSION TOWARD THE MEAN OF REGIONAL ECONOMIC GROWTH – A POLISH EXPERIENCE.

Published in:

Research Papers of the Wroclaw University of Economics / Prace Naukowe Uniwersytetu Ekonomicznego we Wroclawiu, 2016, n. 431, p. 49, doi. 10.15611/pn.2016.431.04

By:

Welc, Jacek

Publication type:

Article

An Optimal Trading Rule Under a Switchable Mean-Reversion Model.

Published in:

Journal of Optimization Theory & Applications, 2014, v. 161, n. 1, p. 145, doi. 10.1007/s10957-012-0260-x

By:

Nguyen, Duy;
Tie, Jingzhi;
Zhang, Qing

Publication type:

Article

Heston Model: The Variance Swap Calibration.

Published in:

Journal of Optimization Theory & Applications, 2014, v. 161, n. 1, p. 76, doi. 10.1007/s10957-013-0331-7

By:

Guillaume, Florence;
Schoutens, Wim

Publication type:

Article

Ranking Forecasts by Stochastic Error Distance, Information and Reliability Measures.

Published in:

International Statistical Review, 2018, v. 86, n. 3, p. 442, doi. 10.1111/insr.12250

By:

Ardakani, Omid M.;
Ebrahimi, Nader;
Soofi, Ehsan S.

Publication type:

Article

Optimal strategies with option compensation under mean reverting returns or volatilities.

Published in:

Computational Management Science, 2019, v. 16, n. 1/2, p. 47, doi. 10.1007/s10287-017-0296-3

By:

Herzel, Stefano;
Nicolosi, Marco

Publication type:

Article

Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models.

Published in:

Economic Research-Ekonomska Istrazivanja, 2018, v. 31, n. 1, p. 1198, doi. 10.1080/1331677X.2018.1456358

By:

Ahmed, Rizwan Raheem;
Vveinhardt, Jolita;
Streimikiene, Dalia;
Channar, Zahid Ali

Publication type:

Article

Reversão à Média com Tendência e Opções Reais na Siderurgia.

Published in:

Brazilian Review of Finance / Revista Brasileira de Finanças, 2012, v. 10, n. 2, p. 215, doi. 10.12660/rbfin.v10n2.2012.3591

By:

de Magalhães Ozorio, Luiz;
de Lamare Bastian-Pinto, Carlos;
Baidya, Tara Nanda;
Teixeira Brandã, Luiz Eduardo

Publication type:

Article

An empirical analysis of mean reversion of the S&P 500's P/E ratios.

Published in:

Journal of Economics & Finance, 2012, v. 36, n. 3, p. 675, doi. 10.1007/s12197-010-9145-8

By:

Becker, Ralf;
Lee, Junsoo;
Gup, Benton

Publication type:

Article

Skewness Term-Structure Tests.

Published in:

Applied Mathematical Finance, 2016, v. 23, n. 6, p. 484, doi. 10.1080/1350486X.2017.1310624

By:

Lehnert, Thorsten;
Lin, Yuehao

Publication type:

Article

Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting.

Published in:

Applied Mathematical Finance, 2016, v. 23, n. 4, p. 261, doi. 10.1080/1350486X.2016.1243012

By:

Tvedt, Jostein

Publication type:

Article

Semi-Markov Model for Market Microstructure.

Published in:

Applied Mathematical Finance, 2015, v. 22, n. 3, p. 261, doi. 10.1080/1350486X.2015.1037963

By:

Fodra, Pietro;
Pham, Huyên

Publication type:

Article

Stochastic Correlation and Volatility Mean-reversion – Empirical Motivation and Derivatives Pricing via Perturbation Theory.

Published in:

Applied Mathematical Finance, 2014, v. 21, n. 6, p. 555, doi. 10.1080/1350486X.2014.906972

By:

Escobar, Marcos;
Götz, Barbara;
Neykova, Daniela;
Zagst, Rudi

Publication type:

Article

On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach.

Published in:

Applied Mathematical Finance, 2014, v. 21, n. 5, p. 451, doi. 10.1080/1350486X.2014.888146

By:

Kennedy, Joanne E.;
Pham, Duy

Publication type:

Article

Temporal and Industry Determinants of Corporate Cash Holdings.

Published in:

Southern Business & Economic Journal, 2014, v. 37, n. 1, p. 1

By:

Nichols, Brian;
Rennie, Craig G.

Publication type:

Article

Nonlinear Mean-Reversion in the Inflation Rate: Evidence from a Panel of OECD Countries.

Published in:

Southern Business & Economic Journal, 2013, v. 36, n. 1, p. 75

By:

Shirvani, Hassan;
Mirshab, Bahman;
Delcoure, Natalya

Publication type:

Article

AN IDENTIFICATION-ROBUST TEST FOR TIME-VARYING PARAMETERS IN THE DYNAMICS OF ENERGY PRICES.

Published in:

Journal of Applied Econometrics, 2012, v. 27, n. 4, p. 603, doi. 10.1002/jae.1213

By:

BERNARD, JEAN-THOMAS;
DUFOUR, JEAN-MARIE;
KHALAF, LYNDA;
KICHIAN, MARAL

Publication type:

Article

Export diversification, mean-reversion of exports, and stability of export–growth causality.

Published in:

International Trade Journal, 2019, v. 33, n. 3, p. 221, doi. 10.1080/08853908.2018.1555497

By:

Furuoka, Fumitaka;
Harvey, Hanafiah;
Munir, Qaiser

Publication type:

Article

Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM.

Published in:

Journal of Risk & Financial Management, 2019, v. 12, n. 1, p. 1, doi. 10.3390/jrfm12010038

By:

Gbenro, Nathaniel;
Moussa, Richard Kouamé

Publication type:

Article