Essays about: "First-time hitting density"
Found 1 essay containing the words First-time hitting density.
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1. Structural breaks in mean reverting processes: Empirical study of WTI-Brent futures spreads
University essay from Göteborgs universitet/Graduate SchoolAbstract : The purpose of this study is to examine the implication of structural breaks in mean reverting processes on the expected return of spread trading. Previous research focuses on the effective- ness of threshold filters in mean-reverting models when deciding trading strategies to exploit arbitrage opportunities within the spread of two highly correlated commodity futures. READ MORE
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