Mean Reversion Lessens Mean Blur: Evidence from the S&P Composite Index
نویسندگان
چکیده
This study makes use of a very long time series the S&P Composite Index, checking once more that rates return benefit from aggregational normality. It performs unit root tests as well elementary statistical take advantage finds mean blur is not consistent with hypothesis random walk constant parameters, because means annual real linear can be estimated usual. gives further evidence on Index are mean-reverting.
منابع مشابه
Mean-reversion Jump-diffusion
From the spot prices we have to identify the following six parameters: α , μ, σ, Km , γ, Φ. If necessary, a seventh parameter, λ, should be identified from the futures prices. The six parameters mentioned above can be identified using the maximum likelihood method (Ball and Torous, 1983; Lien and Strom, 1999; Clewlow and Strickland, 2000) or the moments method (Lien and Strom, 1999; Deng, 1999)...
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ژورنال
عنوان ژورنال: International Journal of Financial Studies
سال: 2023
ISSN: ['2227-7072']
DOI: https://doi.org/10.3390/ijfs11010022