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Volatility clustering and mean reversion of stock returns in an asset pricing model with incomplete learning
Timmermann, Allan, (1995)
Portfolio Rebalancing Error with Jumps and Mean Reversion in Asset Prices
Glasserman, Paul, (2012)
A Note on the Interrelation of Volatility Puzzle, Equity Premium Puzzle, and Mean Reversion through State Dependent Preferences
Choi, SungSup, (2014)
Price discovery in the Hong Kong security markets : evidence from cointegration tests
He, Ling T., (1997)
Cointegration and price discovery between equity and mortgage REITs
He, Ling T., (1998)
Time variation paths of international transmission of stock volatility : US vs. Hong Kong and South Korea
He, Ling T., (2001)