New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model
Year of publication: |
2005
|
---|---|
Authors: | Lam, Kin ; Wong, May Chun Mei ; Wong, Wing-Keung |
Institutions: | Department of Economics, National University of Singapore |
Subject: | mean reversion | variance ratio test | random walk | stock price | stock return |
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