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Keywords: Hurst coefficient
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Journal Articles
Climate change and climate-linked finance
Available to Purchase
Journal:
Agricultural Finance Review
Agricultural Finance Review (2025) 85 (2): 199–233.
Published: 28 June 2024
... the value of climate-linked bonds. Design/methodology/approach Bond valuation is evaluated using Monte Carlo methods of the Ornstein–Uhlenbeck process. The paper describes climate risk in terms of the Hurst coefficient and derives a direct linkage between the Ornstein–Uhlenbeck process and the Hurst...
Journal Articles
An autoregressive approach to modeling commodity prices as a quasi-fractional Brownian motion
Available to Purchase
Journal:
Agricultural Finance Review
Agricultural Finance Review (2016) 76 (1): 54–75.
Published: 03 May 2016
... be contacted at: calumturvey@hotmail.com (Equation 10) with the linear-in-variance result holding for (Equation 11) . © Emerald Group Publishing Limited 2016 Brownian motion Commodity futures Hurst coefficient Quasi-fractional Brownian motion In this paper we make...
