A mean reverting affine GARCH model for commodities
Marcos Escobar-Anel, Kaize Pan, Lars Stentoft
| Year of publication: |
2026
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|---|---|
| Authors: | Escobar, Marcos ; Pan, Kaize ; Stentoft, Lars |
| Published in: |
Energy economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1873-6181, ZDB-ID 2000893-4. - Vol. 153.2026, Art.-No. 109075, p. 1-27
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| Subject: | Affine GARCH | Commodity prices | Future prices | Maximum likelihood estimation | Mean-reverting GARCH | Stationarity | ARCH-Modell | ARCH model | Maximum-Likelihood-Schätzung | Rohstoffpreis | Commodity price | Schätztheorie | Estimation theory | Rohstoffderivat | Commodity derivative | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Mean Reversion | Mean reversion | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2025.109075 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015620663