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Titel:

Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Benth, F. E.; Khedher, A.
Nicht-TUM Koautoren:
ja
Kooperation:
-
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
Zeitschriftentitel:
submitted paper
Jahr:
2013
Seitenangaben Beitrag:
-
Sprache:
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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