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...

In recent years, advances in the field of unit root tests helped topartially solve the first purchasing power parity puzzle. Non-linearmean-reversion tests with real exchange rates were able to reject thenull of a unit root (indicating mean reversion) in significantly morecases than the standard...