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This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the "Average Crossing Time" or ACT. We argue that the ACT...
Persistent link: https://www.econbiz.de/10013189760
This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the “Average Crossing Time” or ACT. We argue that the ACT...
Persistent link: https://www.econbiz.de/10012637259
Persistent link: https://www.econbiz.de/10011599606
In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in a state-dependent idiosyncratic risk premium...
Persistent link: https://www.econbiz.de/10013189759
In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in a state‐dependent...
Persistent link: https://www.econbiz.de/10012637258
Persistent link: https://www.econbiz.de/10009216156