| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4762 |
| DP4762 Strong Contagion with Weak Spillovers | |
| Martin Ellison; Liam Graham; Jouko Vilmunen | |
| 发表日期 | 2004-11-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | Cochrane?s variance ratio is a leading tool for detection of deviations from random walks in financial asset prices. This Paper develops a variance ratio related regression model that can be used for prediction. We suggest a comprehensive framework for our model, including model identification, model estimation and selection, bias correction, model diagnostic check, and an inference procedure. We use our model to study and model mean reversion in the NYSE index in the period 1825-2002. We demonstrate that in addition to mean reversion, our model can generate other characteristic properties of financial asset prices, such as short-term persistence and volatility clustering of unconditional returns. |
| 主题 | Financial Economics |
| 关键词 | Variance ratio Mean reversion Persistence |
| URL | https://cepr.org/publications/dp4762 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533677 |
| 推荐引用方式 GB/T 7714 | Martin Ellison,Liam Graham,Jouko Vilmunen. DP4762 Strong Contagion with Weak Spillovers. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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