Browsing NHH Brage by Author "Rennemo, Ola Vold"

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    • Mean reversion and seasonality in heating oil futures 

      Rennemo, Ola Vold (Master thesis, 2019)
      We examine mean reversion and seasonality in heating oil futures prices using an affine N-factor Gaussian model and NY Harbor ULSD futures. We find strong empirical evidence for mean reversion and seasonality in heating ...