THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
Author:
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Reference14 articles.
1. Stationarity of Garch processes and of some nonnegative time series
2. Generalized autoregressive conditional heteroskedasticity
3. Drawing inferences from statistics based on multiyear asset returns
4. Tests of Financial Models in the Presence of Overlapping Observations
5. Mean reversion in stock prices
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