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Half-life bias correction and the G7 stock markets

Kim, Hyeongwoo; Stern, Liliana V.; Stern, Michael L. - In: Economics letters 109 (2010) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10008806716

Testing the Box-Cox parameter for an integrated process

Huang, Jian; Kobayashi, Masahito - 2010 - Rev.

This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstrated that the maximum likelihood estimator of the...

Persistent link: https://www.econbiz.de/10008840787

Are Asian real exchange rates mean reverting? : evidence from univariate and panel LM unit root tests with one and two structural breaks

Hooi Hooi Lean; Smyth, Russell - In: Applied economics 39 (2007) 16/18, pp. 2109-2120

Persistent link: https://www.econbiz.de/10003589711

Asymmetric mean reversion in corporate profits

Ewing, Bradley T.; Thompson, Mark A. - In: Applied economics letters 14 (2007) 13/15, pp. 935-938

Persistent link: https://www.econbiz.de/10003606147

Asymmetric mean reversion in European interest rates : a two-factor model

Koutmos, Gregory; Philippatos, George C. - In: The European journal of finance 13 (2007) 7/8, pp. 741-750

Persistent link: https://www.econbiz.de/10003610017

A new approach for computing option prices of the Hull-White type with stepwise reversion and volatility finctions

Jin, Hui; Gotoh, Jun-ya; Sumita, Ushio - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 67-85

Persistent link: https://www.econbiz.de/10003611518

A comparison of variance ratio tests of random walk : a case of Asian emerging stock markets

Hoque, Hafiz A. A. B.; Kim, Jae H.; Pyun, Chong-soo - In: International review of economics & finance : IREF 16 (2007) 4, pp. 488-502

Persistent link: https://www.econbiz.de/10003613179

Path-dependent currency options with mean reversion

Wong, Hoi Ying; Lau, Ka Yung - In: The journal of futures markets 28 (2008) 3, pp. 275-293

Persistent link: https://www.econbiz.de/10003699322

On an approximation method for pricing a high-dimensional basket options on assets with mean-reverting prices

Li, Xun; Wu, Zhenyu - In: Computers & operations research : and their … 35 (2008) 1, pp. 76-89

Persistent link: https://www.econbiz.de/10003665818

Currency barrier option pricing with mean reversion

Hui, Cho H.; Lo, C. F. - In: The journal of futures markets 26 (2006) 10, pp. 939-958

Persistent link: https://www.econbiz.de/10003391970

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