Average crossing time : an alternative characterization of mean aversion and reversion
Year of publication: |
2021
|
---|---|
Authors: | Donaldson, John B. ; Mehra, Rajnish |
Published in: |
Quantitative economics : QE ; journal of the Econometric Society. - Oxford [u.a.] : Wiley, ISSN 1759-7331, ZDB-ID 2569569-1. - Vol. 12.2021, 3, p. 903-944
|
Subject: | asset pricing | average crossing time | Mean aversion | mean reversion | time series | Schätzung | Estimation | Kapitalmarkttheorie | Financial economics | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | Simulation | Mean Reversion | Mean reversion |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3982/QE1560 [DOI] hdl:10419/253603 [Handle] |
Classification: | C13 - Estimation ; C53 - Forecasting and Other Model Applications ; E3 - Prices, Business Fluctuations, and Cycles ; E44 - Financial Markets and the Macroeconomy ; E47 - Forecasting and Simulation ; G1 - General Financial Markets ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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