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Optimal portfolio formulas for some mean-reverting price models
Stojanovic, Srdjan - In: Journal of financial engineering 1 (2014) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10010508085
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Modelling natural gas future prices via hybrid stochastic diffusion processes
Mert, Ozenc Murat; Koc, Oguz; Selcuk-Kestel, A. Sevtap - In: Energy Entrepreneurship, Sustainability, Innovation and …, (pp. 297-324). 2025
Persistent link: https://www.econbiz.de/10015332331
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A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models
Blasques, Francisco; Nientker, Marc - 2017
a strictly stationary and phi-mixing solution. Moreover, we show that any path converges to this solution. The proof …
Persistent link: https://www.econbiz.de/10011699508
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Inference in VARs with conditional heteroskedasticity of unknown form
Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - In: Journal of econometrics 191 (2016) 1, pp. 69-85
Persistent link: https://www.econbiz.de/10011594405
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Stationarity and ergodicity of vector STAR models
Kheifets, Igor L.; Saikkonen, Pentti J. - In: Econometric reviews 39 (2020) 4, pp. 407-414
Persistent link: https://www.econbiz.de/10012181431