Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks

DOI10.1016/j.matcom.2010.02.010zbMath1194.91201OpenAlexW2016704850MaRDI QIDQ991161

Ken Hung, Wen-Chi Liu, Tsangyao Chang, Yang-Cheng Lu

Publication date: 2 September 2010

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.02.010

zbMATH Keywords

mean reversionstock pricesG-7 stock marketspanel stationary test with structural breaks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

Estimating structural credit risk models when market prices are contaminated with noise

Cites Work

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• Inference for unit roots in dynamic panels where the time dimension is fixed
• Testing for unit roots in heterogeneous panels.
• Do shocks to G7 stock prices have a permanent effect? Evidence from panel unit root tests with structural change
• Testing for stationarity in heterogeneous panel data
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Breaking the panels: An application to the GDP per capita

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