Half-life bias correction and the G7 stock markets
AbstractWe look at alternative methods to correct a downward bias in half-life estimates of relative stock prices among the G7 countries. We compare a grid-[alpha] median-unbiased method and a recursive mean adjustment method.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 109 (2010)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/locate/ecolet
International equity prices Recursive mean adjustment Unit-root process;
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