Search Results - subject:"autoregressive moving average processes"

A modified ADF test for geometric ARMA processes

Firoozi, Fathali; Lien, Da-hsiang Donald - In: International journal of business and economics 15 (2016) 2, pp. 173-179

Persistent link: https://www.econbiz.de/10011612871

FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES

BENTH, FRED ESPEN; BLANCO, SARA ANA SOLANILLA - In: International Journal of Theoretical and Applied … 18 (2015) 02, pp. 1550010-1

We show that the forward price can be represented as a functional of the spot price path in the case of Lévy semistationary (LSS) models for the spot dynamics. The functional is a weighted average of the historical spot price in general, and is derived by means of the Laplace transform. For the...

Persistent link: https://www.econbiz.de/10011279133

Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes

Benth, Fred Espen; Blanco, Sara Ana Solanilla - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011403202