dc.date.accessioned | 2020-01-22T16:40:21Z | |
dc.date.available | 2020-01-22T16:40:21Z | |
dc.date.created | 2019-02-04T09:50:59Z | |
dc.date.issued | 2019 | |
dc.identifier.citation | Benth, Fred Espen Suess, Andre . Cointegration in continuous time for factor models. Mathematics and Financial Economics. 2019, 13, 87-114 | |
dc.identifier.uri | http://hdl.handle.net/10852/72445 | |
dc.description.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. | en_US |
dc.language | EN | |
dc.publisher | Springer Berlin/Heidelberg | |
dc.title | Cointegration in continuous time for factor models | en_US |
dc.type | Journal article | en_US |
dc.creator.author | Benth, Fred Espen | |
dc.creator.author | Suess, Andre | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk analyse, finans, forsikring og risiko | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1672883 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Mathematics and Financial Economics&rft.volume=13&rft.spage=87&rft.date=2019 | |
dc.identifier.jtitle | Mathematics and Financial Economics | |
dc.identifier.volume | 13 | |
dc.identifier.startpage | 87 | |
dc.identifier.endpage | 114 | |
dc.identifier.doi | https://doi.org/10.1007/s11579-018-0221-8 | |
dc.identifier.urn | URN:NBN:no-75520 | |
dc.type.document | Tidsskriftartikkel | en_US |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 1862-9679 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/72445/2/coint-general-rev1.pdf | |
dc.type.version | AcceptedVersion | |
dc.relation.project | NFR/239019 | |