Donaldson, John B.; Mehra, Rajnish - In: Quantitative economics : QE ; journal of the … 12 (2021) 3, pp. 903-944
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...