Works matching DE "MEAN reversion theory"
Results: 101
Combining low-volatility and mean-reversion anomalies: Better together?
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- Algorithmic Finance, 2023, v. 10, n. 3/4, p. 70, doi. 10.3233/AF-220441
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CREDIT-MARKET SENTIMENT AND THE BUSINESS CYCLE.
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- Quarterly Journal of Economics, 2017, v. 132, n. 3, p. 1373, doi. 10.1093/qje/qjx014
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A Unique and Stable SeCure Reversion Protocol Improving Efficiency: A Computational Bayesian Approach for Empirical Analysis.
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- Computational Economics, 2018, v. 52, n. 1, p. 1, doi. 10.1007/s10614-017-9646-z
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On the Market Selection Hypothesis in a Mean Reverting Environment.
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- Computational Economics, 2014, v. 44, n. 1, p. 101, doi. 10.1007/s10614-013-9400-0
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Under-5 Mortality Rates in G7 Countries: Analysis of Fractional Persistence, Structural Breaks and Nonlinear Time Trends.
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- European Journal of Population, 2019, v. 35, n. 4, p. 675, doi. 10.1007/s10680-018-9499-8
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Volatility-Related Exchange Traded Assets: An Econometric Investigation.
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- Journal of Business & Economic Statistics, 2018, v. 36, n. 4, p. 599, doi. 10.1080/07350015.2016.1216852
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Why Frequency Matters for Unit Root Testing in Financial Time Series.
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- Journal of Business & Economic Statistics, 2012, v. 30, n. 3, p. 351, doi. 10.1080/07350015.2011.648858
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Nonlinear mean reversion in the consumption-income ratio: New evidence from the OECD countries.
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- International Review of Accounting, Banking & Finance, 2015, v. 7, n. 3/4, p. 30
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Smooth breaks and nonlinear mean reversion in real interest parity: Evidence from East Asian countries.
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- Journal of International Trade & Economic Development, 2019, v. 28, n. 6, p. 668, doi. 10.1080/09638199.2019.1582083
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DISPOSITION EFFECT AMONG BRAZILIAN EQUITY FUND MANAGERS.
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- RAE: Revista de Administração de Empresas, 2015, v. 55, n. 1, p. 26, doi. 10.1590/S0034-759020150104
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Exuberance Embedded in the Process of Mean Reversion of Extreme Stock Returns.
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- Journal of Investing, 2013, v. 22, n. 4, p. 51, doi. 10.3905/joi.2013.22.4.051
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The behavior of external debt in Asian countries: evidence based on panel unit root tests.
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- Journal of Business Economics & Management, 2013, v. 14, p. S377, doi. 10.3846/16111699.2012.720589
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The behavior of external debt in Asian countries: evidence based on panel unit root tests.
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- Journal of Business Economics & Management, 2013, v. 14, p. S377, doi. 10.3846/16111699.2012.720589
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Speculative Futures Trading under Mean Reversion.
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- Asia-Pacific Financial Markets, 2016, v. 23, n. 4, p. 281, doi. 10.1007/s10690-016-9215-9
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RECOVERY OF LOCAL VOLATILITY FOR FINANCIAL ASSETS WITH MEAN-REVERTING PRICE PROCESSES.
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- Mathematical Control & Related Fields, 2018, v. 8, n. 3/4, p. 625, doi. 10.3934/mcrf.2018026
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AN OPTIMAL MEAN-REVERSION TRADING RULE UNDER A MARKOV CHAIN MODEL.
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- Mathematical Control & Related Fields, 2016, v. 6, n. 3, p. 467, doi. 10.3934/mcrf.2016012
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STOCK TRADING RULES UNDER A SWITCHABLE MARKET.
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- Mathematical Control & Related Fields, 2013, v. 3, n. 2, p. 209, doi. 10.3934/mcrf.2013.3.209
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Mean Reversion in Profitability for Non-listed Firms.
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- European Financial Management, 2012, v. 18, n. 5, p. 929, doi. 10.1111/j.1468-036X.2010.00561.x
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An empirical analysis of mean reversion of the S&P 500's P/E ratios.
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- Journal of Economics & Finance, 2012, v. 36, n. 3, p. 675, doi. 10.1007/s12197-010-9145-8
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ELECTRICITY PRICE FORECASTING USING MONTE CARLO SIMULATION: THE CASE OF LITHUANIA.
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- Economics / Ekonomika, 2018, v. 97, n. 1, p. 76, doi. 10.15388/Ekon.2018.1.11780
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Stochastic properties of the consumption-income ratios in central and eastern European countries.
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- Proceedings of Rijeka Faculty of Economics: Journal of Economics & Business, 2013, v. 31, n. 2, p. 193
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AN IDENTIFICATION-ROBUST TEST FOR TIME-VARYING PARAMETERS IN THE DYNAMICS OF ENERGY PRICES.
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- Journal of Applied Econometrics, 2012, v. 27, n. 4, p. 603, doi. 10.1002/jae.1213
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Export diversification, mean-reversion of exports, and stability of export–growth causality.
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- International Trade Journal, 2019, v. 33, n. 3, p. 221, doi. 10.1080/08853908.2018.1555497
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Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence from US T-Bond Yields.
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- International Journal of Nonlinear Sciences & Numerical Simulation, 2019, v. 20, n. 2, p. 145, doi. 10.1515/ijnsns-2018-0012
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MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS.
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- International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 1, p. 1, doi. 10.1142/S0219024918500048
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PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 8, p. -1, doi. 10.1142/S0219024916500539
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PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 8, p. -1, doi. 10.1142/S0219024916500540
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OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT.
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- International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 3, p. -1, doi. 10.1142/S021902491550020X
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ON THE SHAPE OF RISK AVERSION AND ASSET ALLOCATION.
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- International Journal of Theoretical & Applied Finance, 2014, v. 17, n. 8, p. -1, doi. 10.1142/S021902491450054X
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COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW.
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- International Journal of Theoretical & Applied Finance, 2013, v. 16, n. 6, p. -1, doi. 10.1142/S0219024913500325
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The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices.
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- Review of Quantitative Finance & Accounting, 2017, v. 48, n. 3, p. 819, doi. 10.1007/s11156-016-0569-x
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THE IMPACT OF STRUCTURAL CHANGE ON THE CALIBRATION OF INTEREST RATES MODELS IN TAIWAN.
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- Economic Computation & Economic Cybernetics Studies & Research, 2012, v. 46, n. 4, p. 121
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NONLINEAR MEAN REVERSION IN EMS EXCHANGE RATES.
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- Brussels Economic Review, 2010, v. 53, n. 2, p. 187
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Temporal and Industry Determinants of Corporate Cash Holdings.
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- Southern Business & Economic Journal, 2014, v. 37, n. 1, p. 1
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Nonlinear Mean-Reversion in the Inflation Rate: Evidence from a Panel of OECD Countries.
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- Southern Business & Economic Journal, 2013, v. 36, n. 1, p. 75
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THEORETICAL MODEL FOR ELECTRICITY MARKET PRICE FORECASTING.
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- Economics & Management, 2012, v. 17, n. 3, p. 944, doi. 10.5755/j01.em.17.3.2119
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Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets.
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- Annals of Economics & Finance, 2013, v. 14, n. 1, p. 21
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Does the Hurst index matter for option prices under fractional volatility?
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- Annals of Finance, 2017, v. 13, n. 1, p. 55, doi. 10.1007/s10436-016-0289-1
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Persistence, Mean-Reversion and Non-linearities in Infant Mortality Rates.
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- Social Indicators Research, 2017, v. 131, n. 1, p. 393, doi. 10.1007/s11205-016-1253-1
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Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data.
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- Manchester School (1463-6786), 2019, v. 87, n. 1, p. 24, doi. 10.1111/manc.12213
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Una propuesta para hacer más eficiente el IPC de la BMV Un modelo con reversión a la media para la flotación relativa.
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- Economia Mexicana, 2013, p. 465
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Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models.
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- Economic Research-Ekonomska Istrazivanja, 2018, v. 31, n. 1, p. 1198, doi. 10.1080/1331677X.2018.1456358
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Investigating mean reversion in financial markets using Hurst Model.
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- International Journal of Research in Business & Social Science, 2023, v. 12, n. 6, p. 197, doi. 10.20525/ijrbs.v12i6.2664
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TRANSITORY MARKET STATES AND THE JOINT OCCURRENCE OF MOMENTUM AND MEAN REVERSION.
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- Journal of Financial Research, 2012, v. 35, n. 4, p. 471, doi. 10.1111/j.1475-6803.2012.01325.x
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What Goes Up Must Come Down? Experimental Evidence on Intuitive Forecasting.
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- American Economic Review, 2013, v. 103, n. 3, p. 570, doi. 10.1257/aer.103.3.570
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Parameter Estimation in Mean Reversion Processes with Deterministic Long-Term Trend.
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- Journal of Probability & Statistics, 2016, p. 1, doi. 10.1155/2016/5191583
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An introduction to oil market volatility analysis.
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- OPEC Energy Review, 2013, v. 37, n. 3, p. 247, doi. 10.1111/opec.12007
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Modelling nonlinearities in equity returns: the mean impact curve analysis.
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- Studies in Nonlinear Dynamics & Econometrics, 2014, v. 18, n. 1, p. 51, doi. 10.1515/snde-2012-0030
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Persistence in real exchange rate convergence.
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- Studies in Nonlinear Dynamics & Econometrics, 2014, v. 18, n. 1, p. 73, doi. 10.1515/snde-2012-0039
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Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity.
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- Studies in Nonlinear Dynamics & Econometrics, 2012, v. 16, n. 5, p. -1, doi. 10.1515/1558-3708.1872
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