Articles with "mean reversion" as a keyword



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Option Pricing with Threshold Mean Reversion

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Published in 2017 at "Journal of Futures Markets"

DOI: 10.1002/fut.21795

Abstract: Mean reversion and regime switching are well-known features of commodity prices. Recent empirical research additionally documents the time variation of the mean reversion rate and volatility. This paper considers the option pricing framework for an… read more here.

Keywords: option pricing; regime switching; mean reversion; reversion ... See more keywords
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Mean Reversion in CO2 Emissions: the Need for Structural Change

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Published in 2020 at "Environmental and Resource Economics"

DOI: 10.1007/s10640-020-00413-4

Abstract: Abstract This paper examines stochastic convergence of national and relative per capita CO2 emissions for a wide range of nations. It demonstrates that nearly all series are mean-reverting once allowance is made for non-linearity and… read more here.

Keywords: reversion co2; need structural; co2 emissions; co2 ... See more keywords
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The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets

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Published in 2019 at "Research in International Business and Finance"

DOI: 10.1016/j.ribaf.2018.12.013

Abstract: Abstract This paper examines whether the intertemporal tradeoffs between risk and return explain mean reversion in sovereign CDS spreads. I test how mean reversion prevents the explosiveness of CDS spreads in Europe. The relationship between… read more here.

Keywords: reversion sovereign; finance; sovereign cds; risk return ... See more keywords