Variance ratio test for mean reversion in financial and economic series

Unit root tests with a break in innovation variance

Kim, T.
Leybourne, S.
Newbold, P.
Nottingham Univ. (United Kingdom). Experian Centre for Economic Modelling (ExCEM)

January 2000

Available from British Library Document Supply Centre-DSC:3597.8105(no 2000/1) / BLDSC - British Lib...

Statistical testing and econometrics

Darnell, A.C
Durham Univ. (United Kingdom). Dept. of Economics

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.1059(DU-DE-WP--108) / BLDSC - B...

Testing for a slowly changing level with special reference to stochastic volatility

Harvey, A.
Streibel, M
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centre for Economics and Related Disciplines

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(STICERD-DP-EM--96/306) / BLD...

Variance rationality A direct test

Batchelor, R.
City Univ., London (United Kingdom). Dept. of Banking and Finance

January 1990

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.95126(80) / BLDSC - British Libr...

Mean variance portfolio analysis revisited

Bhattacharyya, D
Leicester Univ. (United Kingdom). Dept. of Economics

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.7879(LU-DE-DP--166) / BLDSC - B...

Variance ratio tests of the random walk hypothesis for European emerging stock markets

Smith, G.
Ryoo, H.
School of Oriental and African Studies (SOAS), London (United Kingdom)

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:9348.965(no 96) / BLDSC - British Lib...

Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates

Sollis, R.
Leybourne, S.
Newbold, P.
Nottingham Univ. (United Kingdom). Experian Centre for Economic Modelling (ExCEM)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.8105(no 2000/2) / BLDSC - Britis...

Variance function estimation

Kibua, T.K

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:DXN002700 / BLDSC - British Library ...

Tests of common stochastic trends

Harvey, A.
Nyblom, J.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9902) / BLDSC - British Libr...

African stock markets Multiple variance ratio tests of random walks

Smith, G.
Jefferis, K.
Ryoo, H.
School of Oriental and African Studies (SOAS), London (United Kingdom)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:9348.965(no 94) / BLDSC - British Lib...

Match tests for nonparametric analysis of variance problems

Worthington, P

January 1982

SIGLEAvailable from British Library Document Supply Centre- DSC:D42201/82 / BLDSC - British Library ...

An investigation of response variance in sample surveys

O'Muircheartaigh, C.A.

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN049700 / BLDSC - British Library D...

Mean reversion in stock returns Evidence and implications

Summers, L.
Poterba, J
London School of Economics (United Kingdom). Financial Markets Group

Available from British Library Document Supply Centre- DSC:5300.405(LSE-FMG-DP--5) / BLDSC - British...

Regression-based tests for persistence in conditional variances

Psaradakis, Z.
Tzavalis, E
Bristol Univ. (United Kingdom). Dept. of Economics

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.76(BU-DE-DP--95/393) / BLDSC - ...

Statistical properties of the sample semi-variance, with applications to emerging markets data

Bond, S.
Satchell, S.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9821) / BLDSC - British Libr...

Unit root tests with a break in innovation variance

Kim, T.
Leybourne, S.
Newbold, P.
Nottingham Univ. (United Kingdom). Experian Centre for Economic Modelling (ExCEM)

January 2000

Available from British Library Document Supply Centre-DSC:3597.8105(no 2000/1) / BLDSC - British Lib...

Statistical testing and econometrics

Darnell, A.C
Durham Univ. (United Kingdom). Dept. of Economics

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.1059(DU-DE-WP--108) / BLDSC - B...

Testing for a slowly changing level with special reference to stochastic volatility

Harvey, A.
Streibel, M
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centre for Economics and Related Disciplines

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(STICERD-DP-EM--96/306) / BLD...

Variance rationality A direct test

Batchelor, R.
City Univ., London (United Kingdom). Dept. of Banking and Finance

January 1990

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.95126(80) / BLDSC - British Libr...

Mean variance portfolio analysis revisited

Bhattacharyya, D
Leicester Univ. (United Kingdom). Dept. of Economics

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.7879(LU-DE-DP--166) / BLDSC - B...

Variance ratio tests of the random walk hypothesis for European emerging stock markets

Smith, G.
Ryoo, H.
School of Oriental and African Studies (SOAS), London (United Kingdom)

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:9348.965(no 96) / BLDSC - British Lib...

Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates

Sollis, R.
Leybourne, S.
Newbold, P.
Nottingham Univ. (United Kingdom). Experian Centre for Economic Modelling (ExCEM)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.8105(no 2000/2) / BLDSC - Britis...

Variance function estimation

Kibua, T.K

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:DXN002700 / BLDSC - British Library ...

Tests of common stochastic trends

Harvey, A.
Nyblom, J.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9902) / BLDSC - British Libr...

African stock markets Multiple variance ratio tests of random walks

Smith, G.
Jefferis, K.
Ryoo, H.
School of Oriental and African Studies (SOAS), London (United Kingdom)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:9348.965(no 94) / BLDSC - British Lib...

Match tests for nonparametric analysis of variance problems

Worthington, P

January 1982

SIGLEAvailable from British Library Document Supply Centre- DSC:D42201/82 / BLDSC - British Library ...

An investigation of response variance in sample surveys

O'Muircheartaigh, C.A.

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN049700 / BLDSC - British Library D...

Mean reversion in stock returns Evidence and implications

Summers, L.
Poterba, J
London School of Economics (United Kingdom). Financial Markets Group

Available from British Library Document Supply Centre- DSC:5300.405(LSE-FMG-DP--5) / BLDSC - British...

Regression-based tests for persistence in conditional variances

Psaradakis, Z.
Tzavalis, E
Bristol Univ. (United Kingdom). Dept. of Economics

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.76(BU-DE-DP--95/393) / BLDSC - ...

Statistical properties of the sample semi-variance, with applications to emerging markets data

Bond, S.
Satchell, S.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9821) / BLDSC - British Libr...

Unit root tests with a break in innovation variance

Kim, T.
Leybourne, S.
Newbold, P.
Nottingham Univ. (United Kingdom). Experian Centre for Economic Modelling (ExCEM)

January 2000

Available from British Library Document Supply Centre-DSC:3597.8105(no 2000/1) / BLDSC - British Lib...

Statistical testing and econometrics

Darnell, A.C
Durham Univ. (United Kingdom). Dept. of Economics

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.1059(DU-DE-WP--108) / BLDSC - B...

Testing for a slowly changing level with special reference to stochastic volatility

Harvey, A.
Streibel, M
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centre for Economics and Related Disciplines

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(STICERD-DP-EM--96/306) / BLD...

Variance ratio test for mean reversion in financial and economic series

Abstract

Extracted data

Variance ratio test for mean reversion in financial and economic series

Abstract

Extracted data

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