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来源类型Working Paper
规范类型报告
DOI10.3386/w25519
来源IDWorking Paper 25519
Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion
John B. Donaldson; Rajnish Mehra
发表日期2019-02-04
出版年2019
语种英语
摘要We evaluate the properties of mean reversion and mean aversion in asset prices and returns as commonly characterized in the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models and shows that the mean reversion/aversion distinction is largely artificial. We then propose an alternative measure, the ‘Average Crossing Time’ that both unifies these concepts and provides an alternative characterization. Ceteris paribus, mean reverting processes have a relatively shorter average crossing time as compared to mean averting processes.
主题Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w25519
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/583193
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John B. Donaldson,Rajnish Mehra. Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion. 2019.
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