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Duration dependence and mean reversion : an attempt of identification in Tunisian stock market
Bejaoui, Azza; Karaa, Adel; Mahat, Emna - In: The journal of applied business research 31 (2015) 1, pp. 185-196
Persistent link: https://www.econbiz.de/10010502645
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Nonlinear mean reversion in the G7 stock markets
Kim, Hyeongwoo; Stern, Liliana V.; Stern, Michael L. - In: Applied financial economics 19 (2009) 4/6, pp. 347-355
Persistent link: https://www.econbiz.de/10003828501
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Random Walk oder Mean Reversion? : Eine statistische Analyse des Kurs/Gewinn-Verhältnisses für den deutschen Aktienmarkt
Albrecht, Peter; Kantar, Cemil - In: Kredit und Kapital 37 (2004) 2, pp. 223-245
Persistent link: https://www.econbiz.de/10002122877
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Stochastic volatility and option pricing in the Brazilian stock market : an empirical investigation
Almeida, Caio; Dana, Samy - In: Journal of emerging market finance 4 (2005) 2, pp. 169-206
Persistent link: https://www.econbiz.de/10003094790
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Mean-reversion across MENA stock markets : implications for portfolio allocations
Hakim, Sam; Neaime, Simon - 2000
Persistent link: https://www.econbiz.de/10001647036
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Mean-reversion across MENA stock markets : implications for derivative pricing
Hakim, Sam R.; Neaime, Simon - In: International journal of business 8 (2003) 3, pp. 347-358
Persistent link: https://www.econbiz.de/10001787598
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Regression to the mean : one of the most neglected but important concepts in the stock market
Murstein, Bernard I. - In: The journal of behavioral finance : a publication of … 4 (2003) 4, pp. 234-237
Persistent link: https://www.econbiz.de/10002072114
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Memory in world stock prices
Arshanapalli, Bala Gangadhar; Belcher, Larry; Ma, … - In: International journal of business 9 (2004) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10001976511
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Erklärung von "Mean Reversion" auf internationalen Aktienmärkten
Tolksdorf, Norbert - 2002
Persistent link: https://www.econbiz.de/10001671445
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Mean Reversion in International Stock Markets : An Empirical Analysis of the 20th Century
Spierdijk, Laura - 2012
This paper analyzes mean reversion in international stock markets during the years 1900 – 2009, using annual data. Our panel of stock indices in 18 OECD countries allows us to analyze in detail the dynamics of the mean-reversion process. In the period 1900 – 2009 it takes stock prices about...
Persistent link: https://www.econbiz.de/10013116022