Title of article :
Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
Author/Authors :
Chang-Jin Kim، نويسنده , , Charles R. Nelson، نويسنده , , Richard Startz، نويسنده ,
Issue Information :
دوماهنامه با شماره پیاپی سال 1998
Pages :
24
From page :
131
To page :
154
Keywords :
Mean reversion , Variance ratio , Gibbs sampling , Heteroskedasticity , Randomization
Journal title :
Journal of Empirical Finance
Serial Year :
1998
Journal title :
Journal of Empirical Finance
Record number :
130623
Link To Document :
https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=130623
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