Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization

Chang-Jin Kim ; Charles R. Nelson ; Richard Startz

Year of publication:	1998
Authors:	Kim, Chang-Jin ; Nelson, Charles R. ; Startz, Richard
Published in:	Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 5.1998, 2, p. 131-154
Subject:	Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Markov-Kette \| Markov chain \| Theorie \| Theory \| Schätzung \| Estimation \| Kapitaleinkommen \| Capital income \| USA \| United States \| 1926-1986

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