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Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
16 references·16 citing·28 second hopsampled
Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization (1998)Testing for mean reversion in heteroskeda…Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching (1998)Business Cycle Turning Points…The variation of certain speculative prices (1997)The variation of certain spec…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…ARCH modeling in finance (1992)ARCH modeling in financeMean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence (1991)Mean Reversion in Stock Price…The size and power of the variance ratio test in finite samples (1989)The size and power of the var…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market (1989)A Markov Model of Heteroskeda…Mean reversion in stock prices (1988)Mean reversion in stock pricesHow Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Is there a role for Islamic bonds in global diversification strategies? 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Relative roles of own volatility and global factors (2014)What drives herding in oil-ri…True or spurious long memory in volatility: Further evidence on the energy futures markets (2014)True or spurious long memory …Time variation of CAPM betas across market volatility regimes (2011)Time variation of CAPM betas …Regime switches in exchange rate volatility and uncovered interest parity (2011)Regime switches in exchange r…Mean reversion in international stock markets: An empirical analysis of the 20th century (2011)Mean reversion in internation…Markov Switching Models in Empirical Finance (2011)Markov Switching Models in Em…Components of bull and bear markets: bull corrections and bear rallies (2010)Components of bull and bear m…Asset Return Dynamics and Learning (2010)Asset Return Dynamics and Lea…Modeling the volatility of real GDP growth: The case of Japan revisited (2008)Modeling the volatility of re…The behaviour of the real exchange rate: Evidence from regression quantiles (2007)The behaviour of the real exc…Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market647 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1998Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching

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470 cited
  • 1991Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence469 cited
  • Cited by

    • 2015Regime switching model of US crude oil and stock market prices: 1859 to 2013166 cited
    • 2004Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?119 cited
    • 2014What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors117 cited
    • 2011Markov Switching Models in Empirical Finance109 cited
    • 2010Asset Return Dynamics and Learning95 cited
    • 2016A new approach to model regime switching94 cited
    • 2015A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates92 cited
    • 2004An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns80 cited
    • 2010Components of bull and bear markets: bull corrections and bear rallies66 cited
    • 2014True or spurious long memory in volatility: Further evidence on the energy futures markets61 cited
    • 2011Mean reversion in international stock markets: An empirical analysis of the 20th century57 cited
    • 2011Regime switches in exchange rate volatility and uncovered interest parity54 cited
    • 2007The behaviour of the real exchange rate: Evidence from regression quantiles45 cited
    • 2008Modeling the volatility of real GDP growth: The case of Japan revisited45 cited
    • 2016Is there a role for Islamic bonds in global diversification strategies?41 cited
    • 2011Time variation of CAPM betas across market volatility regimes39 cited