Mean reversion, volatility persistence, long memory, time scales, stochastic volatility, GARCH, spurious long memory. - I discuss mean reversion in the first and the second moment of the return distribution. After a discussion of the concepts and a summary of the findings in the literature, I...

Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...

We propose a new clustering approach for comparing financial time series and employ it to study how the COVID-19 pandemic affected the U.S. stock market. Essentially, we compute the forecast accuracy of asymmetric GARCH models applied to S&P500 industries and use the model forecast errors for...