Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks
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Publication:991161
DOI10.1016/j.matcom.2010.02.010zbMath1194.91201OpenAlexW2016704850MaRDI QIDQ991161
Ken Hung, Wen-Chi Liu, Tsangyao Chang, Yang-Cheng Lu
Publication date: 2 September 2010
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2010.02.010
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cites Work
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- Breaking the panels: An application to the GDP per capita
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