Regime-Switching Stock Returns And Mean Reversion
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Vassilios Babalos & Mehmet Balcilar & Rangan Gupta, 2014.
"Revisiting Herding Behavior in REITs: A Regime-Switching Approach,"
201448, University of Pretoria, Department of Economics.
- Vassilios Babalos & Mehmet Balcilar & Rangan Gupta & Nikolaos Philippas, 2014. "Revisiting Herding Behavior in REITs: A RegimeSwitching Approach," Working Papers 15-15, Eastern Mediterranean University, Department of Economics.
- Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Ahmed Khalifa, 2013. "Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?," Working Papers 819, Economic Research Forum, revised Dec 2013.
- Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2014. "What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 418-440.
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KeywordsRegime-Switching; Stock returns; Mean reversion; Denmark;
- G19 - Financial Economics - - General Financial Markets - - - Other
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