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Fractional integration and mean reversion in stock prices · Study

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ArticleFractional integration and mean reversion in stock prices

Guglielmo Maria Caporale2002

Article2002

Fractional integration and mean reversion in stock prices

Guglielmo Maria Caporale · Luis A. Gil-Alana

52 citations·0/0 files stored·The Quarterly Review of Economics and Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1993Common risk factors in the returns on stocks and bonds 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1977Time Series Analysis: Forecasting and Control 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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2006Capital market efficiency and the predictability of daily returns 2008DAILY VARIATION AND PREDICTING STOCK MARKET RETURNS FOR THE FRANKFURTER BÖRSE (STOCK MARKET)2013Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate 2007Long Run and Cyclical Dynamics in the U.S. Stock Market 2005Daily Variation, Capital Market Efficiency and Predicting Stock Market Returns

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Year2002

Typearticle

Published2002-09-01

VenueThe Quarterly Review of Economics and Finance

ISSN-L1062-9769

Languageen

Citations52

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s1062-9769(00)00085-5

openalex_workW1980437232

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