Results 21 to 30 of about 4,922,677 (379)
Environmental science and pollution research international, 2022 This paper deals with the analysis of mean reversion and convergence of the ecological footprint (EF) in the MENA region. Using a long memory model based on fractional integration, we find that the results are very heterogeneous across countries ...
Mufutau Opeyemi Bello +2 more
semanticscholar +1 more source
Mean Reversion in Stock Prices: Evidence and Implications
Journal of Financial Economics, 1987 J. Poterba, L. Summers
semanticscholar +2 more sources
Persistence and mean reversion: analyzing sector indices for Brazil
Economia Aplicada, 2006 This paper contributes to the literature on testing the random walk hypothesis by examining a new data set for sector indices for the Brazilian equity market, and employing a joint variance ratio test with customized percentiles.
Benjamin Miranda Tabak +1 more
doaj +3 more sources
Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity [PDF]
ACTA VŠFS, 2023 In 2022 European equity markets lost some of their value, led by high-growth sectors, which generally have a significantly higher growth rate. The prevailing academic opinion is that the European Central Bank's monetary policy during the COVID-19 ...
Hütteroth, Alexander, Budinský, Petr
doaj +1 more source
An application of unit rate estimation on shareholders’ overreaction: Evidence from Tehran Stock Exchange [PDF]
Management Science Letters, 2014 This paper characterizes the stockholders overreaction thorough return and price mean reverting behavior in specified ten major industry groups in Tehran Stock Exchange (TSE).
Mohammad Khodaei Valahzaghard +1 more
doaj +1 more source
On Some Reverse Mean Inequalities
Journal of Mathematical Analysis and Applications, 1996 In the paper an upper bounds for the quotient of power means of order p and q is considered.
Mond, B., Pečarić, J., Perić, I.
openaire +3 more sources
A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion
Discrete Dynamics in Nature and Society, 2020 Mean reversion is an important property when constructing efficient contrarian strategies. Researchers observe that mean reversion has multiperiodical and asymmetric nature simultaneously in real market.
Zijin Peng, Weijun Xu, Hongyi Li
doaj +1 more source
Mean-Reversion and Optimization [PDF]
SSRN Electronic Journal, 2014 The purpose of these notes is to provide a systematic quantitative framework - in what is intended to be a "pedagogical" fashion - for discussing mean-reversion and optimization. We start with pair trading and add complexity by following the sequence "mean-reversion via demeaning -> regression -> weighted regression -> (constrained ...
openaire +3 more sources
An alternative mean reversion test for interest rates
Central Bank Review, 2018 A number of empirical studies assert that interest rates are governed by unit root processes rejecting any form of reversion to a long term mean by resorting to certain tests, among which the Augmented Dickey Fuller (ADF) is the most widely used one.
Özgür Özel, Deniz Ilalan
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Stockholder overreaction and mean reversion: Evidence from Tehran Stock Exchange [PDF]
Management Science Letters, 2014 In this paper, we address the stockholder overreaction and mean reversion in specified major industry groups in Tehran Stock Exchange (TSE). This paper investigates this issue with panel data analysis and with particular attention to the Box-Jenkins ...
Mohammad Khodaei Valahzaghard +1 more
doaj +1 more source