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~accessRights:"restricted"
~source:"econis"
~subject:"CAPM"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Vasicek model"
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1
Conditional mean reversion of financial ratios and the predictability of returns
Boucher, Christophe
;
Jasinski, A.
;
Tokpavi, S.
- In:
Journal of international money and finance
137
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014478119
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2
Mean reversals and stock market overreactions : further evidence from India
Saji, T. G.
- In:
Afro-Asian Journal of Finance and Accounting : AAJFA
13
(
2023
)
4
,
pp. 467-477
Persistent link: https://www.econbiz.de/10014331571
Saved in:
3
The commodities/equities beta term-structure
Oglend, Atle
- In:
Journal of commodity markets
28
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014335245
Saved in:
4
What moves shipping markets? : a variance decomposition of price-charter ratios
Lee, Hyun-Tak
;
Yun, Heesung
- In:
Maritime policy & management
49
(
2022
)
7
,
pp. 1027-1042
Persistent link: https://www.econbiz.de/10013532013
Saved in:
5
Modelling the Shiller CAPE ratio, mean reversion, and return forecasts
Waser, Otto
- In:
The journal of portfolio management : JPM
47
(
2021
)
3
,
pp. 155-171
Persistent link: https://www.econbiz.de/10012423072
Saved in:
6
Features of overreactions in the cryptocurrency market
Borgards, Oliver
;
Czudaj, Robert
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 31-48
Persistent link: https://www.econbiz.de/10012655182
Saved in:
7
Asset pricing with mean reversion : the case of ships
Moutzouris, Ioannis C.
;
Nomikos, Nikos K.
- In:
Journal of banking & finance
111
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012221061
Saved in:
8
A new method based on range to detect mean reversion
Shaik, Muneer
;
Maheswaran, S.
- In:
IIMB management review
32
(
2020
)
2
,
pp. 208-216
Persistent link: https://www.econbiz.de/10012489711
Saved in:
9
Averaged-calibration-length prediction for currency exchange rates by a time-dependent Vasicek model
Serafin, Tomasz
;
Michalak, Anna
;
Bielak, Łukasz
; …
- In:
Theoretical economics letters
10
(
2020
)
3
,
pp. 579-599
Persistent link: https://www.econbiz.de/10012492075
Saved in:
10
Maximal predictability under long-term mean reversion
Hjalmarsson, Erik
- In:
Journal of empirical finance
45
(
2018
),
pp. 269-282
Persistent link: https://www.econbiz.de/10012102446
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