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Pricing of forwards and other derivatives in cointegrated commodity markets

Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 52 (2015) 1, pp. 104-117

Persistent link: https://www.econbiz.de/10011568135

Time series models for credit default swap premiums

Eifert, Márton - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 21-44

Persistent link: https://www.econbiz.de/10011380101

Bootstrapping continuous-time autoregressive processes

Brockwell, Peter; Kreiss, Jens-Peter; Niebuhr, Tobias - In: Annals of the Institute of Statistical Mathematics 66 (2014) 1, pp. 75-92

We develop a bootstrap procedure for Lévy-driven continuous-time autoregressive (CAR) processes observed at discrete regularly-spaced times. It is well known that a regularly sampled stationary Ornstein–Uhlenbeck process [i.e. a CAR(1) process] has a discrete-time autoregressive...

Persistent link: https://www.econbiz.de/10011000063

On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets

Benth, Fred Espen; Taib, Che Mohd Imran Che - In: Energy Economics 40 (2013) C, pp. 259-268

We extend the concept of half life of an Ornstein–Uhlenbeck process to Lévy-driven continuous-time autoregressive moving average processes with stochastic volatility. The half life becomes state dependent, and we analyze its properties in terms of the characteristics of the process. An...

Persistent link: https://www.econbiz.de/10010718760

On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets

Benth, Fred Espen; Che Mohd Imran Che Taib - In: Energy economics 40 (2013), pp. 259-268

Persistent link: https://www.econbiz.de/10010349561