Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization

Journal of Empirical Finance

Volumn 5, Issue 2, 1998, Pages 131-154

  Kim, Chang Jin ^a   Nelson, Charles R ^b   Startz, Richard ^b  

^a Korea University   (South Korea)

^b UNIVERSITY OF WASHINGTON   (United States)

Author keywords

Gibbs sampling; Heteroskedasticity; Mean reversion; Randomization; Variance ratio

Indexed keywords

EID: 0012467379     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(97)00015-7     Document Type: Article

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