Cointegration in continuous time for factor models
From MaRDI portal
Publication:2633453
DOI10.1007/s11579-018-0221-8zbMath1411.91446arXiv1710.09660OpenAlexW2963652793WikidataQ129410564 ScholiaQ129410564MaRDI QIDQ2633453
Publication date: 8 May 2019
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.09660
cointegrationforward pricescommodity marketspolynomial processesinfinite dimensional stochastic processes
Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Polynomial diffusions and applications in finance
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Representation of infinite-dimensional forward price models in commodity markets
- Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
- Infinite dimensional Ornstein-Uhlenbeck processes driven by Lévy processes
- Polynomial processes and their applications to mathematical finance
- Multivariate CARMA processes
- Option valuation with co-integrated asset prices
- Discrete and continuous time cointegration
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes
- Time-inhomogeneous affine processes
- A note of invariant measures for HJM models
- COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW
- A Pricing Measure to Explain the Risk Premium in Power Markets
- Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach
- Lévy Processes and Stochastic Calculus
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Modeling and Pricing in Financial Markets for Weather Derivatives
- Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework
- On the relation between linearity‐generating processes and linear‐rational models
- Stochastic Partial Differential Equations with Levy Noise
- Consistency problems for Heath-Jarrow-Morton interest rate models
- Lévy-driven CARMA processes
