A Time-Series Model of Stock Returns with a Positive Short-Term Correlation and a Negative Long-Term Correlation
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- repec:oup:jfinec:v:12:y:2014:i:1:p:122-150. is not listed on IDEAS
- Eunju Lee, 2016. "Short selling and market mispricing," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 797-833, October.
- Ai Deng, 2014.
"Understanding Spurious Regression in Financial Economics,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 12(1), pages 122-150.
- Ai Deng, 2013. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 122-150, December.
- repec:eee:dyncon:v:92:y:2018:i:c:p:47-68 is not listed on IDEAS
- Ralph S. J. Koijen & Juan Carlos Rodríguez & Alessandro Sbuelz, 2009. "Momentum and Mean Reversion in Strategic Asset Allocation," Management Science, INFORMS, vol. 55(7), pages 1199-1213, July.
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