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Half-life bias correction and the G7 stock markets

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  • Kim, Hyeongwoo
  • Stern, Liliana V.
  • Stern, Michael L.

Abstract

We 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.

Suggested Citation

  • Kim, Hyeongwoo & Stern, Liliana V. & Stern, Michael L., 2010. "Half-life bias correction and the G7 stock markets," Economics Letters, Elsevier, vol. 109(1), pages 1-3, October.
    • Handle: RePEc:eee:ecolet:v:109:y:2010:i:1:p:1-3
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    References listed on IDEAS

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    7. Kim, Hyeongwoo, 2009. "On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 734-744, December.
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    Cited by:

    1. Cheng, Ka Ming & Durmaz, Nazif & Kim, Hyeongwoo & Stern, Michael L., 2012. "Hysteresis vs. natural rate of US unemployment," Economic Modelling, Elsevier, vol. 29(2), pages 428-434.
    2. Kim, Hyeongwoo & Durmaz, Nazif, 2012. "Bias correction and out-of-sample forecast accuracy," International Journal of Forecasting, Elsevier, vol. 28(3), pages 575-586.
    3. Kim, Hyeongwoo & Moh, Young-Kyu, 2012. "Examining the evidence of purchasing power parity by recursive mean adjustment," Economic Modelling, Elsevier, vol. 29(5), pages 1850-1857.

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