Fractional integration and mean reversion in stock prices

Quarterly Review of Economics and Finance

Volumn 42, Issue 3, 2002, Pages 599-609

  Caporale, Guglielmo Maria ^a   Gil Alana, Luis A ^b  

^a LONDON SOUTH BANK UNIVERSITY   (United Kingdom)

^b HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Efficient markets hypothesis (EMH); Fractional integration; Mean reversion

Indexed keywords

EID: 0036765064     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1062-9769(00)00085-5     Document Type: Article

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