PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks.
- Published in:
- Open Economies Review, 2012, v. 23, n. 5, p. 767, doi. 10.1007/s11079-011-9234-0
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- Publication type:
- Article
Works matching DE "MEAN reversion theory"
Results: 102
1
2
Speculative Futures Trading under Mean Reversion.
- Published in:
- Asia-Pacific Financial Markets, 2016, v. 23, n. 4, p. 281, doi. 10.1007/s10690-016-9215-9
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- Publication type:
- Article
3
Expected lifetime range ratio to find mean reversion: Evidence from Indian stock market.
- Published in:
- Cogent Economics & Finance, 2018, v. 6, n. 1, p. 1, doi. 10.1080/23322039.2018.1475926
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- Publication type:
- Article
4
On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process.
- Published in:
- Stochastic Models, 2014, v. 30, n. 2, p. 143, doi. 10.1080/15326349.2014.900376
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- Publication type:
- Article
5
Exploring Mean Reversion Dynamics in Financial Markets: Insights from Hurst Exponent Analysis.
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- Indonesian Capital Market Review, 2024, v. 16, n. 2, p. 86
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- Publication type:
- Article
6
Combining low-volatility and mean-reversion anomalies: Better together?
- Published in:
- Algorithmic Finance, 2023, v. 10, n. 3/4, p. 70, doi. 10.3233/AF-220441
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- Publication type:
- Article
7
Real interest rate persistence in South Africa: evidence and implications.
- Published in:
- Economic Change & Restructuring, 2014, v. 47, n. 1, p. 41, doi. 10.1007/s10644-012-9132-5
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- Publication type:
- Article
8
Does the Hurst index matter for option prices under fractional volatility?
- Published in:
- Annals of Finance, 2017, v. 13, n. 1, p. 55, doi. 10.1007/s10436-016-0289-1
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- Publication type:
- Article
9
The behavior of external debt in Asian countries: evidence based on panel unit root tests.
- Published in:
- Journal of Business Economics & Management, 2013, v. 14, p. S377, doi. 10.3846/16111699.2012.720589
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- Publication type:
- Article
10
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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- Publication type:
- Article
11
Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach.
- Published in:
- Computational Statistics, 2016, v. 31, n. 1, p. 1, doi. 10.1007/s00180-015-0624-4
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- Publication type:
- Article
12
Optimal strategies with option compensation under mean reverting returns or volatilities.
- Published in:
- Computational Management Science, 2019, v. 16, n. 1/2, p. 47, doi. 10.1007/s10287-017-0296-3
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- Publication type:
- Article
13
A Unique and Stable SeCure Reversion Protocol Improving Efficiency: A Computational Bayesian Approach for Empirical Analysis.
- Published in:
- Computational Economics, 2018, v. 52, n. 1, p. 1, doi. 10.1007/s10614-017-9646-z
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- Publication type:
- Article
14
On the Market Selection Hypothesis in a Mean Reverting Environment.
- Published in:
- Computational Economics, 2014, v. 44, n. 1, p. 101, doi. 10.1007/s10614-013-9400-0
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- Publication type:
- Article
15
Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations.
- Published in:
- Quantitative Finance, 2018, v. 18, n. 12, p. 2051, doi. 10.1080/14697688.2018.1484151
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- Publication type:
- Article
16
Pairs trading with a mean-reverting jump-diffusion model on high-frequency data.
- Published in:
- Quantitative Finance, 2018, v. 18, n. 10, p. 1735, doi. 10.1080/14697688.2017.1417624
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- Publication type:
- Article
17
An analytical approximation for pricing VWAP options.
- Published in:
- Quantitative Finance, 2017, v. 17, n. 7, p. 1119, doi. 10.1080/14697688.2016.1260758
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- Publication type:
- Article
18
Bifurcation patterns of market regime transition.
- Published in:
- Quantitative Finance, 2016, v. 16, n. 11, p. 1631, doi. 10.1080/14697688.2016.1161230
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- Publication type:
- Article
19
Modelling electricity prices: a time change approach.
- Published in:
- Quantitative Finance, 2016, v. 16, n. 7, p. 1089, doi. 10.1080/14697688.2015.1125521
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- Publication type:
- Article
20
Modelling microstructure noise with mutually exciting point processes.
- Published in:
- Quantitative Finance, 2013, v. 13, n. 1, p. 65, doi. 10.1080/14697688.2011.647054
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- Publication type:
- Article
21
Stock Market Mean Reversion and Portfolio Choice over the Life Cycle.
- Published in:
- Journal of Financial & Quantitative Analysis, 2017, v. 52, p. 1183, doi. 10.1017/S0022109017000357
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- Publication type:
- Article
22
The use of bias correction versus the Jackknife when testing the mean reversion and long term mean parameters in continuous time models.
- Published in:
- Monte Carlo Methods & Applications, 2017, v. 23, n. 3, p. 159, doi. 10.1515/mcma-2017-0111
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- Publication type:
- Article
23
Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques.
- Published in:
- Applied Stochastic Models in Business & Industry, 2016, v. 32, n. 5, p. 711, doi. 10.1002/asmb.2189
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- Publication type:
- Article
24
Volatility-Related Exchange Traded Assets: An Econometric Investigation.
- Published in:
- Journal of Business & Economic Statistics, 2018, v. 36, n. 4, p. 599, doi. 10.1080/07350015.2016.1216852
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- Publication type:
- Article
25
Why Frequency Matters for Unit Root Testing in Financial Time Series.
- Published in:
- Journal of Business & Economic Statistics, 2012, v. 30, n. 3, p. 351, doi. 10.1080/07350015.2011.648858
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- Publication type:
- Article
26
Modelling time-varying asymmetric information component of transaction costs.
- Published in:
- Spanish Journal of Finance & Accounting / Revista Espanola de Financiacion y Contabilidad, 2016, v. 45, n. 4, p. 440, doi. 10.1080/02102412.2016.1236481
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- Publication type:
- Article
27
Are the Global REIT Markets Efficient by a New Approach?
- Published in:
- Panoeconomicus, 2013, v. 60, n. 6, p. 743, doi. 10.2298/PAN1306743F
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- Publication type:
- Article
28
Mean Reversion in Profitability for Non-listed Firms.
- Published in:
- European Financial Management, 2012, v. 18, n. 5, p. 929, doi. 10.1111/j.1468-036X.2010.00561.x
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- Publication type:
- Article
29
THEORETICAL MODEL FOR ELECTRICITY MARKET PRICE FORECASTING.
- Published in:
- Economics & Management, 2012, v. 17, n. 3, p. 944, doi. 10.5755/j01.em.17.3.2119
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- Publication type:
- Article
30
Exuberance Embedded in the Process of Mean Reversion of Extreme Stock Returns.
- Published in:
- Journal of Investing, 2013, v. 22, n. 4, p. 51, doi. 10.3905/joi.2013.22.4.051
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- Publication type:
- Article
31
Unemployment in Africa: A Fractional Integration Approach.
- Published in:
- South African Journal of Economics, 2018, v. 86, n. 1, p. 76, doi. 10.1111/saje.12178
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- Publication type:
- Article
32
Belief in Mean Reversion and the Disposition Effect: An Experimental Test.
- Published in:
- Journal of Behavioral Finance, 2017, v. 18, n. 1, p. 29, doi. 10.1080/15427560.2017.1274754
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- Publication type:
- Article
33
Individual Characteristics and the Disposition Effect: The Opposing Effects of Confidence and Self-Regard.
- Published in:
- Journal of Behavioral Finance, 2014, v. 15, n. 3, p. 235, doi. 10.1080/15427560.2014.939748
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- Publication type:
- Article
34
CREDIT-MARKET SENTIMENT AND THE BUSINESS CYCLE.
- Published in:
- Quarterly Journal of Economics, 2017, v. 132, n. 3, p. 1373, doi. 10.1093/qje/qjx014
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- Publication type:
- Article
35
Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data.
- Published in:
- Manchester School (1463-6786), 2019, v. 87, n. 1, p. 24, doi. 10.1111/manc.12213
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- Publication type:
- Article
36
Una propuesta para hacer más eficiente el IPC de la BMV Un modelo con reversión a la media para la flotación relativa.
- Published in:
- Economia Mexicana, 2013, p. 465
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- Publication type:
- Article
37
On the persistence of prices in Mexico: a fractional integration approach.
- Published in:
- Applied Economics, 2017, v. 49, n. 60, p. 6014, doi. 10.1080/00036846.2017.1371841
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- Publication type:
- Article
38
Mean-reversion in closed-end fund discount: evidence from half-life.
- Published in:
- Applied Economics, 2013, v. 45, n. 32, p. 4503, doi. 10.1080/00036846.2013.791019
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- Publication type:
- Article
39
Mean-reversion in closed-end fund discount: evidence from half-life.
- Published in:
- Applied Economics, 2013, v. 45, n. 31, p. 4503, doi. 10.1080/00036846.2013.791019
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- Publication type:
- Article
40
Smooth breaks and nonlinear mean reversion in real interest parity: Evidence from East Asian countries.
- Published in:
- Journal of International Trade & Economic Development, 2019, v. 28, n. 6, p. 668, doi. 10.1080/09638199.2019.1582083
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- Publication type:
- Article
41
An Optimal Trading Rule Under a Switchable Mean-Reversion Model.
- Published in:
- Journal of Optimization Theory & Applications, 2014, v. 161, n. 1, p. 145, doi. 10.1007/s10957-012-0260-x
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- Publication type:
- Article
42
Heston Model: The Variance Swap Calibration.
- Published in:
- Journal of Optimization Theory & Applications, 2014, v. 161, n. 1, p. 76, doi. 10.1007/s10957-013-0331-7
- By:
- Publication type:
- Article
43
Investigating mean reversion in financial markets using Hurst Model.
- Published in:
- International Journal of Research in Business & Social Science, 2023, v. 12, n. 6, p. 197, doi. 10.20525/ijrbs.v12i6.2664
- By:
- Publication type:
- Article
44
The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices.
- Published in:
- Review of Quantitative Finance & Accounting, 2017, v. 48, n. 3, p. 819, doi. 10.1007/s11156-016-0569-x
- By:
- Publication type:
- Article
45
Export diversification, mean-reversion of exports, and stability of export–growth causality.
- Published in:
- International Trade Journal, 2019, v. 33, n. 3, p. 221, doi. 10.1080/08853908.2018.1555497
- By:
- Publication type:
- Article
46
Portfolio Rebalancing Error with Jumps and Mean Reversion in Asset Prices.
- Published in:
- Stochastic Systems, 2011, v. 1, n. 1, p. 109, doi. 10.1287/10-SSY015
- By:
- Publication type:
- Article
47
Five Years of Phase Space Dynamics of the Standard & Poor's 500.
- Published in:
- Applied Mathematics & Nonlinear Sciences, 2019, v. 4, n. 1, p. 209, doi. 10.2478/AMNS.2019.1.00019
- By:
- Publication type:
- Article
48
Under-5 Mortality Rates in G7 Countries: Analysis of Fractional Persistence, Structural Breaks and Nonlinear Time Trends.
- Published in:
- European Journal of Population, 2019, v. 35, n. 4, p. 675, doi. 10.1007/s10680-018-9499-8
- By:
- Publication type:
- Article
49
TRANSITORY MARKET STATES AND THE JOINT OCCURRENCE OF MOMENTUM AND MEAN REVERSION.
- Published in:
- Journal of Financial Research, 2012, v. 35, n. 4, p. 471, doi. 10.1111/j.1475-6803.2012.01325.x
- By:
- Publication type:
- Article
50
Purchasing Power Parity of ASEAN-5 Countries Revisited: Heterogeneity, Structural Breaks and Cross-sectional Dependence.
- Published in:
- Global Economic Review, 2015, v. 44, n. 1, p. 116, doi. 10.1080/1226508X.2015.1012091
- By:
- Publication type:
- Article