Nam, Kiseok; Kim, Sei-Wan; Arize, Augustine. - In: Review of Quantitative Finance and Accounting 26 (2006) 2, pp. 137-163
In this paper, we explore nonlinearity inherent in short-horizon return dynamics, which is characterized by an asymmetric mean-reverting property. Over the period of 1962:07–2003:12, both daily and weekly returns of three market indexes and individual stock returns exhibit a strong asymmetric...
