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...