Brownian Motion or Mean Reversion? A Parameter Based Approach to Stochastic Process Selection
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https://zenodo.org/record/3544570
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资源简介：
Data set and supporting files for article "Brownian Motion or Mean Reversion? A Parameter Based Approach to Stochastic Process Selection"
ADF Tests log commodities SA (Excel and PDF files) – EViews outputs (18) of Augmented Dickey-Fuller tests run on all 9 Seasonally Adjusted time series (S A) with trend and intercept, and with only intercept.
Commodities data historical x Inflation (Excel file) – Time series used in the paper in 3 versions:
In historical monthly averages prices US$,
In December 2018 US$ prices (with US inflation adjustment in appropriate tab),
In December 2018 US$ prices Seasonally Adjusted (S A) from EViews output.
commodities log SA data Ev1 (Excel file) – for the log of 9 commodities time series in Dec 2018 values, after STL decomposition in EViews: original series, seasonally adjusted, seasonal factor and trend
commodities log SA Regressions (Excel and PDF files) - EViews outputs of OLS regression on log of seasonally adjusted times series: Dx = α + β x.
GBMVaratAVG, GBMVaratPaths, MRMVaratAVG, MRMVaratPaths (Matlab codes) – Matlab codes for Variance ratio tests for GBM and MRM, sample paths (200) and averages of 2,500 paths.
Series Seasonal data decomposition (PDF file) – graphical display of seasonal decomposition of log of 9 price series into: original series, trend, seasonal factor, remainder, and seasonally adjusted.
Variance Ratio Comm SA (Excel file) - EViews outputs of variance ratio tests run of seasonal adjusted log of 9 price series in Dec 2018 values.
ADF Tests log commodities SA (Excel and PDF files) – EViews outputs (18) of Augmented Dickey-Fuller tests run on all 9 Seasonally Adjusted time series (S A) with trend and intercept, and with only intercept.
Commodities data historical x Inflation (Excel file) – Time series used in the paper in 3 versions:
In historical monthly averages prices US$,
In December 2018 US$ prices (with US inflation adjustment in appropriate tab),
In December 2018 US$ prices Seasonally Adjusted (S A) from EViews output.
commodities log SA data Ev1 (Excel file) – for the log of 9 commodities time series in Dec 2018 values, after STL decomposition in EViews: original series, seasonally adjusted, seasonal factor and trend
commodities log SA Regressions (Excel and PDF files) - EViews outputs of OLS regression on log of seasonally adjusted times series: Dx = α + β x.
GBMVaratAVG, GBMVaratPaths, MRMVaratAVG, MRMVaratPaths (Matlab codes) – Matlab codes for Variance ratio tests for GBM and MRM, sample paths (200) and averages of 2,500 paths.
Series Seasonal data decomposition (PDF file) – graphical display of seasonal decomposition of log of 9 price series into: original series, trend, seasonal factor, remainder, and seasonally adjusted.
Variance Ratio Comm SA (Excel file) - EViews outputs of variance ratio tests run of seasonal adjusted log of 9 price series in Dec 2018 values.
创建时间：
2024-07-22
