Search Results - subject:"Mean-reversion"

Persistent and long-term co-movements between gender equality and global prices

Infante, Juan; Rio, Marta del; Gil-Alaña, Luis A. - In: Economies : open access journal 12 (2024) 7, pp. 1-15

This paper investigates the relationships of the Bloomberg Gender Equality Index and the MSCI World Index in global financial markets. The main objective is to analyze the degree of integration of each index from a fractional perspective for the years 2014-2021. The methodology involves...

Persistent link: https://www.econbiz.de/10014636175

Household expenditure in Africa : evidence of mean reversion

Olalude, Gbenga A.; Yaya, OlaOluwa S.; Olayinka, Hammed A. - In: Statistics in transition : an international journal of … 24 (2023) 3, pp. 171-186

This paper investigates the mean reversion in household consumption expenditure in 38 African countries; the … reversion in the consumption expenditure pattern of Egypt, Madagascar and Tunisia, while mean reversion was detected in the … approach, which enabled us to model both smooth and instantaneous breaks in the expenditure series. The results showed non-mean …

Persistent link: https://www.econbiz.de/10015052190

Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework

Leung, Tim; Lu, Kevin W. - In: Applied mathematical finance 30 (2023) 4, pp. 207-230

Persistent link: https://www.econbiz.de/10015051244

Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India

Lithin BM; Chakraborty, Suman; Iyer, Vishwanathan; Nikhil MN - In: Cogent economics & finance 11 (2023) 1, pp. 1-33

existence of weak volatility persistence and rapid mean reversion in the bear market. This shows that the economic response …

Persistent link: https://www.econbiz.de/10014500716

The firms' debt reversibility trend : an application to a large sample of industrial SMEs

Carvalho, António; Sardo, Filipe; Pacheco, Luís Dias - In: Cogent economics & finance 11 (2023) 1, pp. 1-23

The corporate debt reversibility analysis can be carried out not only from the owner/manager's active intervention perspective but also from the perspective of a mechanical reversion, independent of owner/managers' deliberations. Our study aims to discover how and which theoretical perspective...

Persistent link: https://www.econbiz.de/10014500531

The multivariate fractional Ornstein-Uhlenbeck process

Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024

Persistent link: https://www.econbiz.de/10015084279

The short-term mean reversion of stock price and the change in trading volume

Jung, Woosung; Kang, Mhin - In: Journal of derivatives and quantitative studies 29 (2021) 3, pp. 190-214

This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price … in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion … pattern after 2000, but not before. This study also confirms that the mean reversion property is significantly reduced if the …

Persistent link: https://www.econbiz.de/10012658724

Optimal firm's dividend and capital structure for mean reverting profitability

Menoncin, Francesco; Panteghini, Paolo; Regis, Luca - 2021

We model a risk-averse firm owner who wants to maximize the intertemporal expected utility of firm’s dividends. The optimal dynamic control problem is characterized by two stochastic state variables: the equity value, and profitability (ROA) of the _rm. According to the empirical evidence, we...

Persistent link: https://www.econbiz.de/10012668498

Nominal and real wages in the UK, 1750 - 2015 : mean reversion, persistence and structural breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...

Persistent link: https://www.econbiz.de/10013417630

Modeling momentum and reversals

Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10

, when mean reversion is sufficiently high, strategies which use reversals would substantially outperform buy and hold …

Persistent link: https://www.econbiz.de/10013555665

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