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Document type:
Zeitschriftenaufsatz 
Author(s):
Benth, F. E.; Khedher, A. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion 
Abstract:
When modeling energy prices with the Ornstein-Uhlenbeck process, it was shown in Barlow, Gusev, and Lai [2] and Zapranis and Alexandris [16] that there is a large uncertainty attached to the estimation of the speed of mean-reversion and that it is not constant but may vary considerably over time. In this paper we generalise the Ornstein-Uhlenbeck process to allow for the speed of mean reversion to be stochastic. We suppose that the mean-reversion is a Brownian stationary process. We apply Mallia...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
submitted paper 
Year:
2013 
Pages contribution:
Language:
en 
Status:
Erstveröffentlichung 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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