Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks
| Year of publication: |
2011
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|---|---|
| Authors: | Clark, Steven ; Coggin, T. |
| Published in: |
Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 40.2011, 2, p. 373-391
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| Publisher: |
Department of Economics and Finance Research and Teaching |
| Subject: | Fractional integration | Long-horizon stock returns | Mean reversion | Overlapping data | Structural breaks | Temporal aggregation |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008925356