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  • Search: subject:"mean-reverting process"
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Year of publication
Subject
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Mean Reversion 743 Mean reversion 743 Theorie 292 Theory 292 Börsenkurs 157 Share price 157 Estimation 152 Schätzung 151 Volatility 136 Volatilität 136 Stochastic process 135 Stochastischer Prozess 135 Portfolio selection 125 Portfolio-Management 125 Zeitreihenanalyse 123 Time series analysis 122 Capital income 115 Kapitaleinkommen 115 Option pricing theory 100 Optionspreistheorie 100 Einheitswurzeltest 79 Unit root test 79 mean reversion 76 USA 71 United States 71 Aktienmarkt 58 Stock market 58 Anlageverhalten 56 Behavioural finance 56 Kaufkraftparität 51 Purchasing power parity 51 Welt 45 World 45 CAPM 43 Derivat 42 Derivative 42 Efficient market hypothesis 34 Effizienzmarkthypothese 34 Forecasting model 33 Prognoseverfahren 33
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Online availability
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Free 255 Undetermined 190 CC license 16
Type of publication
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Article 479 Book / Working Paper 291
Type of publication (narrower categories)
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Article in journal 440 Aufsatz in Zeitschrift 440 Working Paper 107 Arbeitspapier 106 Graue Literatur 102 Non-commercial literature 102 Aufsatz im Buch 25 Book section 25 Hochschulschrift 18 Thesis 13 Collection of articles written by one author 4 Sammlung 4 Conference paper 2 Konferenzbeitrag 2 Article 1 Collection of articles of several authors 1 Sammelwerk 1
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Language
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English 743 German 15 Undetermined 13
Author
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Gil-Alaña, Luis A. 30 Leung, Tim 17 Caporale, Guglielmo Maria 15 Bikker, Jacob A. 7 Kim, Hyeongwoo 7 Spierdijk, Laura 7 Stein, Jeremy C. 7 Wong, Hoi Ying 7 Bao, Yong 6 Boltz, Marie 6 Chort, Isabelle 6 Fabozzi, Frank J. 6 Holmes, Mark J. 6 Li, Xin 6 Ullah, Aman 6 Albrecht, Peter 5 Kanamura, Takashi 5 Kantar, Cemil 5 Otero, Jesús G. 5 Panagiōtidēs, Theodōros 5 Yu, Jun 5 Benth, Fred Espen 4 Bobenrieth H., Eugenio S. 4 Bobenrieth H., Juan R. A. 4 Endres, Sylvia 4 Gustavsson, Magnus 4 Kim, Jintae 4 Levendovszky, János 4 Li, Jiao 4 Madan, Dilip B. 4 Maurer, Alina 4 Narayan, Paresh Kumar 4 Neaime, Simon 4 Pigato, Paolo 4 Račev, Svetlozar T. 4 Smyth, Russell 4 Summers, Lawrence Henry 4 Wang, Yun 4 Wright, Brian D. 4 Zakrajšek, Egon 4
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Institution
All
National Bureau of Economic Research 11 Carleton University / Department of Economics 2 EconWPA 2 Queen Mary College / Department of Economics 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 1 Duale Hochschule Baden-Württemberg Stuttgart 1 Econometrisch Instituut <Rotterdam> 1 Erasmus Research Institute of Management 1 Fakultät für Wirtschaftswissenschaft, Otto-von-Guericke-Universität Magdeburg 1 Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie 1 HAL 1 Hong Kong Monetary Authority 1 Institut for Nationaløkonomi <Kopenhagen> 1 Institut für Wirtschaftsforschung Halle 1 Technische Universität Kaiserslautern 1 University of Connecticut / Department of Economics 1 Universität Bremen / Fachbereich Wirtschaftswissenschaft 1 Verlag Dr. Hut <München> 1
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Published in...
All
Applied economics 17 International journal of theoretical and applied finance 14 Applied economics letters 11 Journal of banking & finance 11 Working paper / National Bureau of Economic Research, Inc. 11 Applied mathematical finance 10 Economic modelling 10 International review of economics & finance : IREF 10 NBER working paper series 10 The European journal of finance 10 Economics letters 9 CESifo working papers 8 Energy economics 7 Journal of mathematical finance 7 The journal of futures markets 7 Applied financial economics 6 Finance research letters 6 International journal of financial engineering 6 NBER Working Paper 6 Quantitative finance 6 Review of quantitative finance and accounting 6 European journal of operational research : EJOR 5 Insurance 5 Risks : open access journal 5 Working paper 5 Journal of econometrics 4 Journal of empirical finance 4 Journal of international money and finance 4 Journal of risk and financial management : JRFM 4 Sonderforschungsbereich 504, Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung 4 The North American journal of economics and finance : a journal of financial economics studies 4 Cogent economics & finance 3 Computational economics 3 DNB working paper 3 De Nederlandsche Bank Working Paper 3 Discussion paper / Centre for Economic Policy Research 3 Economics and finance working paper series 3 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 3 IMA journal of management mathematics 3 International Journal of Financial Studies : open access journal 3
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Source
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ECONIS (ZBW) 753 RePEc 15 EconStor 2
Showing 1 - 10 of 770
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A survey of statistical arbitrage pairs trading strategies with non-machine learning methods, 2016-2023
Sun, Yufei - 2025
Persistent link: https://www.econbiz.de/10015455221
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Do investors tend to overreact when investing in clean energy stock indices?
Dias, Rui; Galvão, Rosa Morgado; Cruz, Sandra; … - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 2, pp. 157-163
Persistent link: https://www.econbiz.de/10015416376
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Statistical proxy based mean-reverting portfolios with sparsity and volatility constraints
Mousavi, Ahmad; Michilidis, George - In: International transactions in operational research : a … 32 (2025) 6, pp. 3848-3869
Persistent link: https://www.econbiz.de/10015459091
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Mean reversion of the soybean crush spread : a new model and trading strategies
Abdoh, Hussein; Chitavi, Michael - In: International review of economics & finance : IREF 101 (2025), pp. 1-12
Persistent link: https://www.econbiz.de/10015459557
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Modeling market expectations of profitability mean reversion : a comparative analysis of adjustment models
Vlčková, Miroslava; Buus, Tomáš - In: International Journal of Financial Studies : open … 13 (2025) 3, pp. 1-26
This paper investigates how market expectations regarding profitability mean reversion are reflected in stock prices. We propose a model that infers implicit expectations of future earnings using publicly available share prices based on the assumption that markets efficiently incorporate...
Persistent link: https://www.econbiz.de/10015462986
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Optimal firm's dividend and capital structure with mean reverting profitability
Menoncin, Francesco; Panteghini, Paolo; Regis, Luca; … - In: International review of economics & finance : IREF 103 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015508755
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Optimal firm's dividend and capital structure with mean reverting profitability
Menoncin, Francesco; Panteghini, Paolo; Regis, Luca; … - In: International review of economics & finance : IREF 103 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015484362
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Mean reversion trading on the naphtha crack
Turquet, Briac; Bajgrowicz, Pierre; Scaillet, Olivier - 2024
Persistent link: https://www.econbiz.de/10015192708
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Modelling profitability of private equity : a fractional integration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Research in international business and finance 67 (2024) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10014451482
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The multivariate fractional Ornstein-Uhlenbeck process
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de/10015084279
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