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