Half-life bias correction and the G7 stock markets
We look at alternative methods to correct a downward bias in half-life estimates of relative stock prices among the G7 countries. We compare a grid-[alpha] median-unbiased method and a recursive mean adjustment method.
Year of publication: |
2010
|
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Authors: | Kim, Hyeongwoo ; Stern, Liliana V. ; Stern, Michael L. |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 109.2010, 1, p. 1-3
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Publisher: |
Elsevier |
Keywords: | International equity prices Recursive mean adjustment Unit-root process |
Saved in:
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