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A Simple Model of Non-Stationarity of Systematic Risk
The Journal of Finance, 1977In the Capital Asset Pricing Model (CAPM) developed and elaborated by Sharpe (1964), Lintner (1965), Mossin (1966), Fama (1971), and others, the equilibrium expected rate of return of a security is related to its systematic risk, (the beta coefficient). The model does not require that the beta coefficient of a security be stable over time.
Brenner, Menachem, Smidt, Seymour
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Non-stationarity and non-Gaussianity in Vibration Fatigue
In vibration fatigue the frequency contents of dynamic loading and structure’s dynamic response overlap, resulting in amplified stress loads of the structure. Time domain fatigue approach does not give a good insight into the underlying mechanics of failure and therefore recently vibration fatigue in frequency domain is getting a lot of scientific ...Slavic J. +5 more
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Non-stationarity tests and nonlinear trends
1992Nous nous proposons dans ce travail d’attirer l ’attention sur le postulat de linéarité de la composante déterministe imposé par les procédures de test de la racine unitaire les plus utilisées dans la littérature empirique. Nous avons tenté de mettre au point une stratégie empirique permettant de réduire le risque de parvenir à des conclusions erronées
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NON-STATIONARITY AS AN EMBEDDING PROBLEM
Space-Time Chaos: Characterization, Control and Synchronization, 2001MICHAEL SMALL +2 more
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Non-Stationarity and Unit-Root Tests
2016Dimitrios Asteriou, Stephen G. Hall
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