MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES

DOI10.1142/S021902490200164XzbMath1107.91328OpenAlexW2007352385MaRDI QIDQ3022070

Luis A. Gil-Alana, Javier Depenya

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902490200164x

zbMATH Keywords

semiparametric estimationlong memoryStock market returns

Mathematics Subject Classification ID

Related Items (1)

A discontinuous mispricing model under asymmetric information

Cites Work

• Efficient parameter estimation for self-similar processes
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• Averaged periodogram estimation of long memory
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• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Discrimination between monotonic trends and long-range dependence
• Asset Prices in an Exchange Economy
• Mean Reversion in Stock Prices: Implications from a Production Based Asset Pricing Model
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Efficient Tests of Nonstationary Hypotheses

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