Estimation and application of geometric mean-reversion model

MaRDI QIDQ3169468zbMATH OpenFDO

Authors Jinqiang Yang, Zhaojun Yang, Feng Shi

Publication date 29 September 2011

zbMATH Keywords

Bayesian inferencegeometric mean-reversionpredictionsimulation

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cited in

(2)

• Gaussian estimation of one-factor mean reversion processes
• On the non-equilibrium density of geometric mean reversion

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