Nonlinear Mean Reversion in Stock Prices
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- repec:bbz:fcpbbr:v:9:y:2012:i:4:p:51-86 is not listed on IDEAS
- Cunado, J. & Gil-Alana, L.A. & Gracia, Fernando Perez de, 2010. "Mean reversion in stock market prices: New evidence based on bull and bear markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 113-122, June.
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Keywordsnonlinear time series; mean reversion;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-08-16 (All new papers)
- NEP-ETS-2004-08-16 (Econometric Time Series)
- NEP-FIN-2004-08-16 (Finance)
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