Similar Search Results

A new definition for time-dependent price mean reversion in commodity markets

Kocagil, Ahmet Enis; Swanson, Norman R.; Zeng, Tian - In: Economics letters 71 (2001) 1, pp. 9-16

Persistent link: https://www.econbiz.de/10001564044

Cross-sectional predictability of stock returns at the Colombo Stock Eschange

Elyasiani, Elyas; Perera, Priyal; Puri, Tribhuvan N. - In: Regional financial markets : issues and policies, (pp. 95-116). 2004

Persistent link: https://www.econbiz.de/10002792672

Mean aversion and return predictability in currency futures

Puri, Tribhuvan N.; Elyasiani, Elyas; Westbrook, Jilleen R. - In: Applied financial economics 12 (2002) 1, pp. 9-18

Persistent link: https://www.econbiz.de/10001646082

The risk-asymmetry index as a new measure of risk

Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Multinational finance journal 22 (2018) 3/4, pp. 173-210

Persistent link: https://www.econbiz.de/10012547710

The information content of corridor volatility measures during calm and turmoil periods

Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Quantitative finance and economics 1 (2017) 4, pp. 454-473

Persistent link: https://www.econbiz.de/10012137889

Mean Aversion and Return Predictability in Currency Futures

Puri, Tribhuvan - 2016

This paper examines two stylized regularities in currency futures traded on the International Monetary Market. Short horizon returns (weekly and monthly) sampled over the period 1984-1994 exhibit significantly positive autocorrelations at moderate lags. The pattern of autocorrelations in returns...

Persistent link: https://www.econbiz.de/10013006307