Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-19
reversion property for both indices. The half-life time is 7 days for the composite index and 2 days for the BRVM 10 index …. Furthermore, using a rolling regression technique, we show that the estimated half-life time declines slightly for the composite …