The Time-Variance Relationship of Security Returns: Implications for the Return-Generating Stochastic Process

Publisher Website
Google Scholar
Abstract
Using a test statistic which specifically allows for parameter shifts over time, we investigate the time‐variance relationship of security returns. The null hypothesis of stationary and independent increments is rejected, and the existence of a complex short‐term reversal phenomenon is reported.

This publication has 0 references indexed in Scilit: