Nonlinear mean reversion in the G7 stock markets
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/09603100802389007
Reference28 articles.
1. Momentum and mean reversion across national equity markets
2. Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies
3. Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship
4. Threshold Autoregression with a Unit Root
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