Works matching DE "MEAN reversion theory"
Results: 101
CREDIT-MARKET SENTIMENT AND THE BUSINESS CYCLE.
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- Quarterly Journal of Economics, 2017, v. 132, n. 3, p. 1373, doi. 10.1093/qje/qjx014
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Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data.
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- Manchester School (1463-6786), 2019, v. 87, n. 1, p. 24, doi. 10.1111/manc.12213
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On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process.
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- Stochastic Models, 2014, v. 30, n. 2, p. 143, doi. 10.1080/15326349.2014.900376
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Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations.
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- Quantitative Finance, 2018, v. 18, n. 12, p. 2051, doi. 10.1080/14697688.2018.1484151
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Pairs trading with a mean-reverting jump-diffusion model on high-frequency data.
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- Quantitative Finance, 2018, v. 18, n. 10, p. 1735, doi. 10.1080/14697688.2017.1417624
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An analytical approximation for pricing VWAP options.
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- Quantitative Finance, 2017, v. 17, n. 7, p. 1119, doi. 10.1080/14697688.2016.1260758
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Bifurcation patterns of market regime transition.
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- Quantitative Finance, 2016, v. 16, n. 11, p. 1631, doi. 10.1080/14697688.2016.1161230
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Modelling electricity prices: a time change approach.
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- Quantitative Finance, 2016, v. 16, n. 7, p. 1089, doi. 10.1080/14697688.2015.1125521
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Modelling microstructure noise with mutually exciting point processes.
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- Quantitative Finance, 2013, v. 13, n. 1, p. 65, doi. 10.1080/14697688.2011.647054
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TRANSITORY MARKET STATES AND THE JOINT OCCURRENCE OF MOMENTUM AND MEAN REVERSION.
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- Journal of Financial Research, 2012, v. 35, n. 4, p. 471, doi. 10.1111/j.1475-6803.2012.01325.x
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AN OPTIMAL MEAN-REVERSION TRADING RULE UNDER A MARKOV CHAIN MODEL.
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- Mathematical Control & Related Fields, 2016, v. 6, n. 3, p. 467, doi. 10.3934/mcrf.2016012
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STOCK TRADING RULES UNDER A SWITCHABLE MARKET.
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- Mathematical Control & Related Fields, 2013, v. 3, n. 2, p. 209, doi. 10.3934/mcrf.2013.3.209
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Volatility-Related Exchange Traded Assets: An Econometric Investigation.
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- Journal of Business & Economic Statistics, 2018, v. 36, n. 4, p. 599, doi. 10.1080/07350015.2016.1216852
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Why Frequency Matters for Unit Root Testing in Financial Time Series.
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- Journal of Business & Economic Statistics, 2012, v. 30, n. 3, p. 351, doi. 10.1080/07350015.2011.648858
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Modelling time-varying asymmetric information component of transaction costs.
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- Spanish Journal of Finance & Accounting / Revista Espanola de Financiacion y Contabilidad, 2016, v. 45, n. 4, p. 440, doi. 10.1080/02102412.2016.1236481
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What Goes Up Must Come Down? Experimental Evidence on Intuitive Forecasting.
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- American Economic Review, 2013, v. 103, n. 3, p. 570, doi. 10.1257/aer.103.3.570
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The Disappearing Aggregate Ratchet Effect.
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- Banking & Finance Review, 2018, v. 10, n. 1, p. 61
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Temporal and Industry Determinants of Corporate Cash Holdings.
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- Southern Business & Economic Journal, 2014, v. 37, n. 1, p. 1
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Nonlinear Mean-Reversion in the Inflation Rate: Evidence from a Panel of OECD Countries.
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- Southern Business & Economic Journal, 2013, v. 36, n. 1, p. 75
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Ranking Forecasts by Stochastic Error Distance, Information and Reliability Measures.
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- International Statistical Review, 2018, v. 86, n. 3, p. 442, doi. 10.1111/insr.12250
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Modelling nonlinearities in equity returns: the mean impact curve analysis.
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- Studies in Nonlinear Dynamics & Econometrics, 2014, v. 18, n. 1, p. 51, doi. 10.1515/snde-2012-0030
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Persistence in real exchange rate convergence.
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- Studies in Nonlinear Dynamics & Econometrics, 2014, v. 18, n. 1, p. 73, doi. 10.1515/snde-2012-0039
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Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity.
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- Studies in Nonlinear Dynamics & Econometrics, 2012, v. 16, n. 5, p. -1, doi. 10.1515/1558-3708.1872
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Optimal strategies with option compensation under mean reverting returns or volatilities.
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- Computational Management Science, 2019, v. 16, n. 1/2, p. 47, doi. 10.1007/s10287-017-0296-3
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PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks.
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- Open Economies Review, 2012, v. 23, n. 5, p. 767, doi. 10.1007/s11079-011-9234-0
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Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process.
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- Econometric Reviews, 2017, v. 36, n. 6-9, p. 1039, doi. 10.1080/07474938.2017.1307977
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A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data.
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- Econometric Reviews, 2016, v. 35, n. 6, p. 986, doi. 10.1080/07474938.2014.976526
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Under-5 Mortality Rates in G7 Countries: Analysis of Fractional Persistence, Structural Breaks and Nonlinear Time Trends.
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- European Journal of Population, 2019, v. 35, n. 4, p. 675, doi. 10.1007/s10680-018-9499-8
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Is There A Scientific Basis for Accounting? Implications for Practice, Research, and Education.
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- Journal of International Accounting Research, 2015, v. 14, n. 2, p. 235, doi. 10.2308/jiar-51321
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RECOVERY OF LOCAL VOLATILITY FOR FINANCIAL ASSETS WITH MEAN-REVERTING PRICE PROCESSES.
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- Mathematical Control & Related Fields, 2018, v. 8, n. 3/4, p. 625, doi. 10.3934/mcrf.2018026
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MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS.
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- International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 1, p. 1, doi. 10.1142/S0219024918500048
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PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 8, p. -1, doi. 10.1142/S0219024916500539
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PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 8, p. -1, doi. 10.1142/S0219024916500540
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OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT.
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- International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 3, p. -1, doi. 10.1142/S021902491550020X
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ON THE SHAPE OF RISK AVERSION AND ASSET ALLOCATION.
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- International Journal of Theoretical & Applied Finance, 2014, v. 17, n. 8, p. -1, doi. 10.1142/S021902491450054X
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COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW.
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- International Journal of Theoretical & Applied Finance, 2013, v. 16, n. 6, p. -1, doi. 10.1142/S0219024913500325
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Reversão à Média com Tendência e Opções Reais na Siderurgia.
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- Brazilian Review of Finance / Revista Brasileira de Finanças, 2012, v. 10, n. 2, p. 215, doi. 10.12660/rbfin.v10n2.2012.3591
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Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets.
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- Annals of Economics & Finance, 2013, v. 14, n. 1, p. 21
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Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques.
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- Applied Stochastic Models in Business & Industry, 2016, v. 32, n. 5, p. 711, doi. 10.1002/asmb.2189
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Nonlinear mean reversion in the consumption-income ratio: New evidence from the OECD countries.
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- International Review of Accounting, Banking & Finance, 2015, v. 7, n. 3/4, p. 30
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A Unique and Stable SeCure Reversion Protocol Improving Efficiency: A Computational Bayesian Approach for Empirical Analysis.
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- Computational Economics, 2018, v. 52, n. 1, p. 1, doi. 10.1007/s10614-017-9646-z
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On the Market Selection Hypothesis in a Mean Reverting Environment.
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- Computational Economics, 2014, v. 44, n. 1, p. 101, doi. 10.1007/s10614-013-9400-0
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Portfolio Rebalancing Error with Jumps and Mean Reversion in Asset Prices.
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- Stochastic Systems, 2011, v. 1, n. 1, p. 109, doi. 10.1287/10-SSY015
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The use of bias correction versus the Jackknife when testing the mean reversion and long term mean parameters in continuous time models.
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- Monte Carlo Methods & Applications, 2017, v. 23, n. 3, p. 159, doi. 10.1515/mcma-2017-0111
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DISPOSITION EFFECT AMONG BRAZILIAN EQUITY FUND MANAGERS.
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- RAE: Revista de Administração de Empresas, 2015, v. 55, n. 1, p. 26, doi. 10.1590/S0034-759020150104
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Parameter Estimation in Mean Reversion Processes with Deterministic Long-Term Trend.
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- Journal of Probability & Statistics, 2016, p. 1, doi. 10.1155/2016/5191583
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Random Walk in the MIST.
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- Journal of Asia-Pacific Business, 2015, v. 16, n. 2, p. 92, doi. 10.1080/10599231.2015.1028303
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Mean Reversion in Profitability for Non-listed Firms.
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- European Financial Management, 2012, v. 18, n. 5, p. 929, doi. 10.1111/j.1468-036X.2010.00561.x
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Skewness Term-Structure Tests.
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- Applied Mathematical Finance, 2016, v. 23, n. 6, p. 484, doi. 10.1080/1350486X.2017.1310624
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Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting.
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- Applied Mathematical Finance, 2016, v. 23, n. 4, p. 261, doi. 10.1080/1350486X.2016.1243012
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