Nonlinear mean reversion in stock prices

Journal of Banking and Finance

Volumn 32, Issue 5, 2008, Pages 767-782

  Bali, Turan G ^a,b   Demirtas, K Ozgur ^a   Levy, Haim ^c  

^a CITY UNIVERSITY OF NEW YORK   (United States)

^b KOÇ UNIVERSITY   (Turkey)

^c HEBREW UNIVERSITY OF JERUSALEM   (Israel)

Author keywords

C13; Extreme returns; G10; G11; Market efficiency; Mean reversion; Stock market returns; Time varying risk aversion

Indexed keywords

EID: 41849089389     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.05.013     Document Type: Article

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