Expected lifetime range ratio to find mean reversion : evidence from Indian stock market
Year of publication: |
2018
|
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Authors: | Shaik, Muneer ; Maheswaran, S. |
Published in: |
Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 6.2018, 1, p. 1-23
|
Subject: | mean reversion | extreme value estimators | expected lifetime range ratio | Lo and MacKinlay variance ratio | random walk | Random Walk | Random walk | Mean Reversion | Mean reversion | Indien | India | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Erwartungsbildung | Expectation formation | Schätzung | Estimation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1080/23322039.2018.1475926 [DOI] hdl:10419/194786 [Handle] |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; c58 ; G10 - General Financial Markets. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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