Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 40 (2011)
Issue (Month): 2 (April)
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Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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