Nonstationarity of Stock Returns

DOI10.1007/978-3-319-24747-2_12zbMath1411.91532OpenAlexW2343539894MaRDI QIDQ2799944

Kekun Wu

Publication date: 14 April 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-24747-2_12

zbMATH Keywords

entropyasset pricingdiversificationrisk premiumnonstationarity measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

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• Asymptotically mean stationary measures
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis
• Common risk factors in the returns on stocks and bonds

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