因子模型的连续时间协整分析
Cointegration in continuous time for factor models
摘要：
我们发展的协整多变量连续时间随机过程，在有限和无限维。我们的定义和分析是基于因素过程和运营商映射到价格和协整空间。重点是商品市场，在协整的背景下分析现货和远期价格。我们提供了许多例子，其中包括最常用的连续时间定价模型，包括远期曲线模型的希斯-贾罗-莫顿范式在希尔伯特空间。
英文摘要：
We develop cointegration for multivariate continuous-time stochastic processes, both in finite and infinite dimension. Our definition and analysis are based on factor processes and operators mapping to the space of prices and cointegration. The focus is on commodity markets, where both spot and forward prices are analysed in the context of cointegration. We provide many examples which include the most used continuous-time pricing models, including forward curve models in the Heath-Jarrow-Morton paradigm in Hilbert space.
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