Blar i forfatter Doktorgradsavhandlinger (NT-fak) "Løvsletten, Ola"
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Statistical methods for scale-invariant and multifractal stochastic processes.
Løvsletten, Ola (Doctoral thesis; Doktorgradsavhandling, 2014-10-03)This thesis focuses on stochastic modeling, and statistical methods, in finance and in climate science. Two financial markets, short-term interest rates and electricity prices, are analyzed. We find that the evidence of mean reversion in short-term interest rates is week, while the “log-returns” of electricity prices have significant anti-correlations. More importantly, empirical analyses confirm ...