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Showing 1 to 1 of 1 for “"mean reversion, state-space model, wavelet-decomposition, Bayesian estimation, energy pricing"”.
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MEAN REVERSION MODELING WITH APPLICATION IN ENERGY MARKETS
A phenomenon observed in energy prices is that they tend to exhibit mean-reversion behavior. This thesis proposes two new models on mean-reversion patterns of energy assets: Time-invariant Wavelet-Schwartz Model and Time-Varying State Space Model. The first model is capable of describing stationary …