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Citations for "Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1"

by Kim, Chang-Jin & Nelson, Charles R. & Startz, Richard

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  1. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington.
  2. L. Spierdijk & J.A. Bikker & P. van den Hoek, 2010. "Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century," Working Papers 10-07, Utrecht School of Economics.
  3. Nelson Areal & Maria Cortez & Florinda Silva, 2013. "The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?," Financial Markets and Portfolio Management, Springer, vol. 27(4), pages 397-429, December.
  4. 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.
  5. Charles Engel & Chang-Jin Kim, 1996. "The Long-Run U.S./U.K. Real Exchange Rate," NBER Working Papers 5777, National Bureau of Economic Research, Inc.
  6. Fang, WenShwo & Miller, Stephen M., 2009. "Modeling the volatility of real GDP growth: The case of Japan revisited," Japan and the World Economy, Elsevier, vol. 21(3), pages 312-324, August.
  7. Leiva-Leon, Danilo, 2013. "A New Approach to Infer Changes in the Synchronization of Business Cycle Phases," MPRA Paper 54452, University Library of Munich, Germany.
  8. Massimo Guidolin & Stuart Hyde, 2011. "Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective," Working Papers 414, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  9. Jorge Alberto Achcar & Edilberto Cepeda-Cuervo & Milton Barossi-Filho, 2012. "Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, June.
  10. Balcilar, Mehmet & Gupta, Rangan & Miller, Stephen M., 2015. "Regime switching model of US crude oil and stock market prices: 1859 to 2013," Energy Economics, Elsevier, vol. 49(C), pages 317-327.
  11. L. Spierdijk & J.A. Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," Working Papers 12-07, Utrecht School of Economics.
  12. repec:ipg:wpaper:2014-503 is not listed on IDEAS
  13. 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.
  14. Ichiue, Hibiki & Koyama, Kentaro, 2011. "Regime switches in exchange rate volatility and uncovered interest parity," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1436-1450.
  15. Chew Lian Chua & Sarantis Tsiaplias, 2014. "A Bayesian Approach to Modelling Bivariate Time-Varying Cointegration and Cointegrating Rank," Melbourne Institute Working Paper Series wp2014n27, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  16. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Empirical investigation on the relationship between Japanese and Asian emerging equity markets," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 77-86, March.
  17. Nikolaou, Kleopatra, 2008. "The behaviour of the real exchange rate: Evidence from regression quantiles," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 664-679, May.
  18. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, vol. 123(2), pages 327-344, December.
  19. 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.
  20. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.
  21. Balcilar, Mehmet & Hammoudeh, Shawkat & Asaba, Nwin-Anefo Fru, 2015. "A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 72-89.
  22. WenShwo Fang & Stephen M. Miller, 2012. "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working papers 2012-11, University of Connecticut, Department of Economics.
  23. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working Papers 0801, University of Nevada, Las Vegas , Department of Economics.
  24. Graflund, Andreas, 2001. "Are the Nordic Stock Markets Mean Reverting?," Working Papers 2001:15, Lund University, Department of Economics.
  25. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
  26. Luger, Richard, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Staff Working Papers 01-2, Bank of Canada.
  27. 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.
  28. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, EconWPA.
  29. Bhar, Ramprasad & Kim, Suk-Joong & Pham, Toan M., 2004. "Exchange rate volatility and its impact on the transaction costs of covered interest rate parity," Japan and the World Economy, Elsevier, vol. 16(4), pages 503-525, December.
  30. Amélie Charles & Olivier Darné, 2009. "Variance-Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, 07.
  31. Kleopatra Nikolaou, 2007. "The behaviour of the real exchange rate: Evidence from regression quantiles," Money Macro and Finance (MMF) Research Group Conference 2006 46, Money Macro and Finance Research Group.
  32. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society.
  33. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2013. "Investor herds and regime-switching: Evidence from Gulf Arab stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 295-321.
  34. Andrew Ang & Li Gu & Yael V. Hochberg, 2006. "Is IPO Underperformance a Peso Problem?," NBER Working Papers 12203, National Bureau of Economic Research, Inc.
  35. Hess, Martin K., 2003. "What drives Markov regime-switching behavior of stock markets? The Swiss case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 527-543.
  36. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra.
  37. Hibiki Ichiue & Kentaro Koyama, 2007. "Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity," Bank of Japan Working Paper Series 07-E-22, Bank of Japan.
  38. 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.
  39. MeiChi Huang & Tzu-Chien Wang, 2015. "Housing-bubble vulnerability and diversification opportunities during housing boom–bust cycles: evidence from decomposition of asset price returns," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(2), pages 605-637, March.
  40. Nielsen, Steen & Olesen, Jan Overgaard, 2001. "Regime-Switching Stock Returns And Mean Reversion," Working Papers 11-2000, Copenhagen Business School, Department of Economics.
  41. Nikolaou, Kleopatra, 2006. "The behaviour of the real exchange rate: evidence from regression quantiles," Working Paper Series 0667, European Central Bank.
  42. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
  43. Bhar, Ramaprasad & Hamori, Shigeyuki, 2003. "Alternative characterization of the volatility in the growth rate of real GDP," Japan and the World Economy, Elsevier, vol. 15(2), pages 223-231, April.
  44. Erica Fellinger Jusué & Tomás Mancha Navarro, 2008. "Stabilization policies in Argentina: an analysis from the perspective of inflation uncertainty," Working Papers 04/08, Instituto Universitario de Análisis Económico y Social.
  45. Laurini, M. P. & Portugal, M. S., 2003. "Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate," Finance Lab Working Papers flwp_51, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  46. Laurini, M. P. & Portugal, M. S., 2003. "Long Memory int the R$/US$ Exchange Rate: A Robust Analysis," Finance Lab Working Papers flwp_50, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  47. Lin, Shih-Kuei & Wang, Shin-Yun & Tsai, Pei-Ling, 2009. "Application of hidden Markov switching moving average model in the stock markets: Theory and empirical evidence," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 306-317, March.
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