Mean Reversion in the Nikkei, Standard & Poor and Dow Jones indices

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/1041

Full metadata record

DC Field	Value	Language
dc.contributor.author	Caporale, GM	-
dc.contributor.author	Gil-Alana, LA	-
dc.coverage.spatial	21	en
dc.date.accessioned	2007-07-06T15:52:32Z	-
dc.date.available	2007-07-06T15:52:32Z	-
dc.date.issued	2007	-
dc.identifier.citation	Economics and Finance Working papers, Brunel University, 07-06	en
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/1041	-
dc.description.abstract	Three stock market indices (the Nikkei 225, the Standard and Poor’s 500 and the Dow Jones EURO STOXX 50) are analysed in this paper using a parametric procedure for fractional integration. We find that the orders of integration of these three series range between 0.75 and 1.25. A model selection criterion suggests that they can be specified as fractional processes of order 0.75, with AR(1) disturbances. This indicates that the three series exhibit mean reversion.	en
dc.format.extent	370643 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en	-
dc.publisher	Brunel University	en
dc.subject	Fractional integration; Mean Reversion	en
dc.title	Mean Reversion in the Nikkei, Standard & Poor and Dow Jones indices	en
dc.type	Research Paper	en
Appears in Collections:	Economics and Finance Dept of Economics and Finance Research Papers

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