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Using Mean Reversion as a Measure of Persistence

Dias, Daniel; Marques, Carlos Robalo - 2021

This paper elaborates on the alternative measure of persistence recently suggested in Marques (2004), which is based on the idea of mean reversion. A formal distinction between the "unconditional probability of a given process not crossing its mean in period t" and its estimator, is made clear...

Persistent link: https://www.econbiz.de/10013318721

Modelling profitability of private equity : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022

This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the...

Persistent link: https://www.econbiz.de/10013285647

Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...

Persistent link: https://www.econbiz.de/10012199998

Nominal and real wages in the UK, 1750 - 2015 : mean reversion, persistence and structural breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

exhibit a higher degree of persistence, which reflects relatively long lags between inflation and wage adjustments. Endogenous …

Persistent link: https://www.econbiz.de/10013417630

Time-Varying Persistence in US Inflation

Caporin, Massimiliano - 2014

The persistence property of inflation is an important issue for not only economists, but, especially for central banks …, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Further …, not only is the level of inflation persistence that is important in economic analyses, but also the question of whether …

Persistent link: https://www.econbiz.de/10013045937

Fractional Integration and Cointegration in US Financial Time Series Data

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

Persistent link: https://www.econbiz.de/10014183200

Statistical Evidence on the Mean Reversion of Interest Rates

van den End, Jan Willem - 2011

Based on two hundred years of annual data of the Netherlands , Germany , US and Japan we analyse the mean reversion of long-term interest rates, by unit root tests over rolling windows and taking into account structural breaks and regime changes. While short-term rates and the yield curve tend...

Persistent link: https://www.econbiz.de/10013119069

Fractional Integration and Cointegration in US Financial Time Series Data

Caporale, Guglielmo Maria - 2011

Persistent link: https://www.econbiz.de/10013126003

Maximal Predictability Under Long-Term Mean Reversion

Hjalmarsson, Erik - 2017

I analyze the relationship between two stylized empirical facts for stock returns: Unconditional long-term mean reversion and predictability by variables such as the dividend-price ratio or the short-term interest rate. In particular, I show that if one imposes that returns satisfy long-term...

Persistent link: https://www.econbiz.de/10012942532

Nominal and Real Wages in the UK, 1750 - 2015 : Mean Reversion, Persistence and Structural Breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

exhibit a higher degree of persistence, which reflects relatively long lags between inflation and wage adjustments. Endogenous …

Persistent link: https://www.econbiz.de/10014243100