On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets
Fred Espen Benth; Che Mohd Imran Che Taib
| Year of publication: |
2013
|
|---|---|
| Authors: | Benth, Fred Espen ; Che Mohd Imran Che Taib |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 40.2013, p. 259-268
|
| Subject: | CARMA processes | Stationarity | Half life | Mean reversion | Zeitreihenanalyse | Time series analysis | Energiemarkt | Energy market | Theorie | Theory | ARMA-Modell | ARMA model | Stochastischer Prozess | Stochastic process | Mean Reversion |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010349561