Works matching DE "MEAN reversion theory"

Results: 105

A Novel Stochastic SVIR Model Capturing Transmission Variability Through Mean-Reverting Processes and Stationary Reproduction Thresholds.

Published in:

Mathematics (2227-7390), 2025, v. 13, n. 13, p. 2097, doi. 10.3390/math13132097

By:

Sabbar, Yassine;
Aldosary, Saud Fahad

Publication type:

Article

Stochastic DNN-based models meet hidden Markov models: a challenge on natural gas prices at the Henry Hub.

Published in:

Neural Computing & Applications, 2025, v. 37, n. 20, p. 14997, doi. 10.1007/s00521-025-11286-3

By:

Mari, Carlo;
Mari, Emiliano

Publication type:

Article

Belief in Mean Reversion and the Disposition Effect: An Experimental Test.

Published in:

Journal of Behavioral Finance, 2017, v. 18, n. 1, p. 29, doi. 10.1080/15427560.2017.1274754

By:

Jiao, Peiran

Publication type:

Article

Individual Characteristics and the Disposition Effect: The Opposing Effects of Confidence and Self-Regard.

Published in:

Journal of Behavioral Finance, 2014, v. 15, n. 3, p. 235, doi. 10.1080/15427560.2014.939748

By:

Kadous, Kathryn;
Tayler, William B.;
Thayer, Jane M.;
Young, Donald

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

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

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

Investigating mean reversion in financial markets using Hurst Model.

Published in:

International Journal of Research in Business & Social Science, 2023, v. 12, n. 6, p. 197, doi. 10.20525/ijrbs.v12i6.2664

By:

Enow, Samuel Tabot

Publication type:

Article

Exploring Mean Reversion Dynamics in Financial Markets: Insights from Hurst Exponent Analysis.

Published in:

Indonesian Capital Market Review, 2024, v. 16, n. 2, p. 86

By:

Hasan, Shifa

Publication type:

Article

Purchasing Power Parity of ASEAN-5 Countries Revisited: Heterogeneity, Structural Breaks and Cross-sectional Dependence.

Published in:

Global Economic Review, 2015, v. 44, n. 1, p. 116, doi. 10.1080/1226508X.2015.1012091

By:

Munir, Qaiser;
Kok, Sook Ching

Publication type:

Article

PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks.

Published in:

Open Economies Review, 2012, v. 23, n. 5, p. 767, doi. 10.1007/s11079-011-9234-0

By:

Holmes, Mark;
Otero, Jesús;
Panagiotidis, Theodore

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

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

Is There A Scientific Basis for Accounting? Implications for Practice, Research, and Education.

Published in:

Journal of International Accounting Research, 2015, v. 14, n. 2, p. 235, doi. 10.2308/jiar-51321

By:

Basu, Sudipta

Publication type:

Article

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

The use of bias correction versus the Jackknife when testing the mean reversion and long term mean parameters in continuous time models.

Published in:

Monte Carlo Methods & Applications, 2017, v. 23, n. 3, p. 159, doi. 10.1515/mcma-2017-0111

By:

Iglesias, Emma M.;
Phillips, Garry D. A.

Publication type:

Article

What Goes Up Must Come Down? Experimental Evidence on Intuitive Forecasting.

Published in:

American Economic Review, 2013, v. 103, n. 3, p. 570, doi. 10.1257/aer.103.3.570

By:

Beshears, John;
Choi, James J;
Fuster, Andreas;
Laibson, David;
Madrian, Brigitte C

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

Exuberance Embedded in the Process of Mean Reversion of Extreme Stock Returns.

Published in:

Journal of Investing, 2013, v. 22, n. 4, p. 51, doi. 10.3905/joi.2013.22.4.051

By:

HE, LING T.

Publication type:

Article

The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach.

Published in:

Risks, 2021, v. 9, n. 5, p. 100, doi. 10.3390/risks9050100

By:

Schmeck, Maren Diane;
Schwerin, Stefan;
Benth, Fred Espen

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

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

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

THE IMPACT OF STRUCTURAL CHANGE ON THE CALIBRATION OF INTEREST RATES MODELS IN TAIWAN.

Published in:

Economic Computation & Economic Cybernetics Studies & Research, 2012, v. 46, n. 4, p. 121

By:

CHANG, Chih-Kai;
CHANG, Tsangyao

Publication type:

Article

NONLINEAR MEAN REVERSION IN EMS EXCHANGE RATES.

Published in:

Brussels Economic Review, 2010, v. 53, n. 2, p. 187

By:

Mizrach, Bruce

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

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

Una propuesta para hacer más eficiente el IPC de la BMV Un modelo con reversión a la media para la flotación relativa.

Published in:

Economia Mexicana, 2013, p. 465

By:

Aké, Salvador Cruz;
Ruiz, Reyna Susana García;
Venegas-Martínez, Francisco

Publication type:

Article

TRANSITORY MARKET STATES AND THE JOINT OCCURRENCE OF MOMENTUM AND MEAN REVERSION.

Published in:

Journal of Financial Research, 2012, v. 35, n. 4, p. 471, doi. 10.1111/j.1475-6803.2012.01325.x

By:

Balvers, Ronald J.;
Hu, Ou;
Huang, Dayong

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

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

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

Real interest rate persistence in South Africa: evidence and implications.

Published in:

Economic Change & Restructuring, 2014, v. 47, n. 1, p. 41, doi. 10.1007/s10644-012-9132-5

By:

Das, Sonali;
Gupta, Rangan;
Kanda, Patrick;
Reid, Monique;
Tipoy, Christian;
Zerihun, Mulatu

Publication type:

Article

Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques.

Published in:

Applied Stochastic Models in Business & Industry, 2016, v. 32, n. 5, p. 711, doi. 10.1002/asmb.2189

By:

Gil ‐ Alana, Luis A.;
Yaya, OlaOluwa S.;
Solademi, Enitan A.

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

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

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

Momentum and mean reversion in regional housing markets: evidence from variance ratio tests.

Published in:

International Journal of Strategic Property Management, 2015, v. 19, n. 3, p. 220, doi. 10.3846/1648715X.2015.1031854

By:

Oikarinen, Elias;
Schindler, Felix

Publication type:

Article

SPEED OF MEAN REVERSION: AN EMPIRICAL ANALYSIS OF KSE, LSE AND ISE INDICES.

Published in:

Technological & Economic Development of Economy, 2018, v. 24, n. 4, p. 1435, doi. 10.3846/20294913.2017.1342286

By:

PALWASHA, Rana Imroze;
AHMAD, Nawaz;
AHMED, Rizwan Raheem;
VVEINHARDT, Jolita;
ŠTREIMIKIENĖ, Dalia

Publication type:

Article

Mean reversion in unemployment: new findings from the Baltic tigers.

Published in:

Technological & Economic Development of Economy, 2017, v. 23, n. 3, p. 462, doi. 10.3846/20294913.2015.1070769

By:

Furuoka, Fumitaka

Publication type:

Article

Mean reversion: an investigation from Karachi stock exchange sectors.

Published in:

Technological & Economic Development of Economy, 2016, v. 22, n. 4, p. 493, doi. 10.3846/20294913.2016.1181685

By:

Vveinhardt, Jolita;
Streimikiene, Dalia;
Rizwan, Ahmed Raheem;
Nawaz, Ahmad;
Rehman, Aniqe

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

CREDIT-MARKET SENTIMENT AND THE BUSINESS CYCLE.

Published in:

Quarterly Journal of Economics, 2017, v. 132, n. 3, p. 1373, doi. 10.1093/qje/qjx014

By:

LÓPEZ-SALIDO, DAVID;
STEIN, JEREMY C.;
ZAKRAJŠEK, EGON

Publication type:

Article

The Limitations of Diversification Return.

Published in:

Journal of Portfolio Management, 2014, v. 40, n. 4, p. 65, doi. 10.3905/jpm.2014.40.4.065

By:

CHAMBERS, DONALD R.;
ZDANOWICZ, JOHN 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

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