Lam, Kin; Wong, May Chun Mei; Wong, Wing-Keung - Department of Economics, National University of Singapore - 2005
We develop some properties on the autocorrelation of the k-period returns for the general mean reversion (GMR) process in which the stationary component is not restricted to the AR(l) process but take the form of a general ARMA process. We then derive some properties of the GMR process and three...