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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
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1
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu
;
Chen, Ting-Fu
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Saved in:
2
Pricing European continuous-installment currency options with mean-reversion
Jeon, Junkee
;
Kim, Geonwoo
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013413559
Saved in:
3
Short-run momentum, long-run mean reversion and excess volatility : an elementary housing model
Schmitt, Noemi
;
Westerhoff, Frank H.
- In:
Economics letters
176
(
2019
),
pp. 43-46
Persistent link: https://www.econbiz.de/10012121226
Saved in:
4
Bias in the estimation of mean reversion in continuous-time Lévy processes
Bao, Yong
;
Ullah, Aman
;
Wang, Yun
;
Yu, Jun
- In:
Economics letters
134
(
2015
),
pp. 16-19
Persistent link: https://www.econbiz.de/10011432138
Saved in:
5
On existence of moment of mean reversion estimator in linear diffusion models
Bao, Yong
;
Ullah, Aman
;
Zinde-Walsh, Victoria
- In:
Economics letters
120
(
2013
)
2
,
pp. 146-148
Persistent link: https://www.econbiz.de/10010127806
Saved in:
6
Mispricing and trader positions in the S&P 500 index futures market
Lai, Ya-Wen
;
Lin, Chiou-Fa
;
Tang, Mei-Ling
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 250-265
Persistent link: https://www.econbiz.de/10011938115
Saved in:
7
Half-life bias correction and the G7 stock markets
Kim, Hyeongwoo
;
Stern, Liliana V.
;
Stern, Michael L.
- In:
Economics letters
109
(
2010
)
1
,
pp. 1-3
Persistent link: https://www.econbiz.de/10008806716
Saved in:
8
Mean reversion in US and international short rates
Christiansen, Charlotte
- In:
The North American journal of economics and finance : a …
21
(
2010
)
3
,
pp. 286-296
Persistent link: https://www.econbiz.de/10009267822
Saved in:
9
Mechanical mean reversion of leverage ratios
Chen, Long
;
Zhao, Xinlei
- In:
Economics letters
95
(
2007
)
2
,
pp. 223-229
Persistent link: https://www.econbiz.de/10003460424
Saved in:
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