Average crossing time: An alternative characterization of mean aversion and reversion
Year of publication: |
2021
|
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Authors: | Donaldson, John B. ; Mehra, Rajnish |
Published in: |
Quantitative Economics. - New Haven, CT : The Econometric Society, ISSN 1759-7331. - Vol. 12.2021, 3, p. 903-944
|
Publisher: |
New Haven, CT : The Econometric Society |
Subject: | asset pricing | average crossing time | Mean aversion | mean reversion | time series |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3982/QE1560 [DOI] 1765954436 [GVK] 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: |
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Average crossing time : an alternative characterization of mean aversion and reversion
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