Cointegration in continuous time for factor models
From MaRDI portal
Publication:2633453
Abstract: We develop cointegration for multivariate continuous-time stochastic processes, both in finite and infinite dimension. Our definition and analysis are based on factor processes and operators mapping to the space of prices and cointegration. The focus is on commodity markets, where both spot and forward prices are analysed in the context of cointegration. We provide many examples which include the most used continuous-time pricing models, including forward curve models in the Heath-Jarrow-Morton paradigm in Hilbert space.
Recommendations
- Cointegration Detection Using Dynamic Factor Models
- Discrete and continuous time cointegration
- COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
- Cointegrating regressions with time heterogeneity
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Time-varying cointegration
- Cointegration in large VARs
- Cointegration and Dynamic Simultaneous Equations Model
Cites work
- A note of invariant measures for HJM models
- A pricing measure to explain the risk premium in power markets
- Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes
- 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
- Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
- Commodity price dynamics and derivative valuation: a review
- Consistency problems for Heath-Jarrow-Morton interest rate models
- Derivatives pricing in energy markets: an infinite-dimensional approach
- Discrete and continuous time cointegration
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Infinite dimensional Ornstein-Uhlenbeck processes driven by Lévy processes
- Lévy Processes and Stochastic Calculus
- Lévy-driven CARMA processes
- Modeling and pricing in financial markets for weather derivatives
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Multivariate CARMA processes
- Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
- On the relation between linearity-generating processes and linear-rational models
- Option valuation with co-integrated asset prices
- Polynomial diffusions and applications in finance
- Polynomial processes and their applications to mathematical finance
- Representation of infinite-dimensional forward price models in commodity markets
- Stochastic modeling of electricity and related markets.
- Stochastic Partial Differential Equations with Levy Noise
- Time-inhomogeneous affine processes
Cited in
(6)- Commodity derivatives pricing with cointegration and stochastic covariances
- COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
- COINTEGRATION AND SETTLEMENT OF COMMODITY FUTURES CONTRACTS
- The impact of cointegration on commodity spread options
- Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
- Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
This page was built for publication: Cointegration in continuous time for factor models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2633453)
