Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion
收藏NBER2019-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w25519
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资源简介：
We evaluate the properties of mean reversion and mean aversion in asset prices and returns as commonly characterized in the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models and shows that the mean reversion/aversion distinction is
提供机构：
美国国家经济研究局
创建时间：
2019-02-01
