A new definition for time-dependent price mean reversion in commodity markets

DOI10.1016/S0165-1765(00)00397-9zbMath0984.91515OpenAlexW2101980431WikidataQ127065685 ScholiaQ127065685MaRDI QIDQ5940889

Tian Zeng, Norman R. Swanson, Ahmet E. Kocagil

Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00397-9

zbMATH Keywords

hedginganticipated spot pricesconvenience yield shocksforecastabilityfutures pricesinterest rate shocksmean reversionterm structure

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Modeling and pricing long memory in stock market volatility
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

This page was built for publication: A new definition for time-dependent price mean reversion in commodity markets