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Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1

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  • Kim, Chang-Jin
  • Nelson, Charles R.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 5 (1998)
Issue (Month): 4 (October)
Pages: 385-396

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Handle: RePEc:eee:empfin:v:5:y:1998:i:4:p:385-396

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Web page: http://www.elsevier.com/locate/jempfin

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Cited by:
  1. Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 09 Nov 2000.
  2. Charfeddine Lanouar, 2014. "True or Spurious Long Memory in Volatility : Further Evidence on the Energy Futures Markets," Working Papers 2014-503, Department of Research, Ipag Business School.
  3. Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
  4. L. Spierdijk & J.A. Bikker, 2013. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," Working Papers 12-07, Utrecht School of Economics.
  5. Laura Spierdijk & Jacob Bikker & Pieter van den Hoek, 2010. "Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century," DNB Working Papers 247, Netherlands Central Bank, Research Department.
  6. Telatar, Erdinc & Telatar, Funda & Bolatoglu, Nasip, 2007. "A regime switching approach to the Feldstein-Horioka puzzle: Evidence from some European countries," Journal of Policy Modeling, Elsevier, vol. 29(3), pages 523-533.
  7. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
  8. James Morley, 2000. "Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?," Econometric Society World Congress 2000 Contributed Papers 0915, Econometric Society.
  9. Andreas Graflund, 2000. "A Bayes Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Econometric Society World Congress 2000 Contributed Papers 1363, Econometric Society.

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