An empirical estimation for mean-reverting coal prices with long memory

作者：Sun, Qi; Xu, Weijun; Xiao, Weilin^*

来源：Economic Modelling, 2013, 33(jul.): 174-181.

DOI：10.1016/j.econmod.2013.04.015

• Energy model
• Least squares estimation
• Quadratic variations
• Fractional mean-reversion processes
• Monte Carlo simulation

In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and the least squares. We perform a simulation study to test the efficiency of these estimators and to compare with the approach proposed by Hog (1999). Moreover, we apply our estimation procedure to some sample series of Chinese coal spot prices in real life situations. These results support the use of fractional mean-reversion processes in modeling Chinese coal prices.

• 出版日期2013-7
• 单位浙江大学; 华南理工大学; 浙江工商大学