Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks

DOI10.1016/j.matcom.2010.02.010zbMath1194.91201MaRDI 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

zbMATH Keywords

mean reversion; stock prices; G-7 stock markets; panel stationary test with structural breaks

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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Cites Work

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