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Journal ArticleDOI

Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization

Chang-Jin Kim, +2 more
- 01 Jun 1998 - 
- Vol. 5, Iss: 2, pp 131-154
TLDR
This article used the Gibbs sampling approach in the context of a three state Markov-switching model to show how heteroskedasticity affects inference and suggest two strategies for valid inference.
About: 
This article is published in Journal of Empirical Finance.The article was published on 1998-06-01. It has received 149 citations till now. The article focuses on the topics: Mean reversion & Gibbs sampling.

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Citations
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Journal ArticleDOI

An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns

Massimo Guidolin, +1 more
- 01 Jul 2004 - 
TL;DR: In this article, the authors consider a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics and show that a more complicated four state model with regimes characterized as crash, slow growth, bull and recovery states is required to capture their joint distribution.
Journal ArticleDOI

An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns

Massimo Guidolin, +1 more
- 01 Jan 2005 - 
TL;DR: In this paper, the authors consider a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics and show that a more complicated four-state model with regimes characterized as crash, slow growth, bull and recovery states is required to capture their joint distribution.
Posted Content

Variance ratio tests of random walk: An overview

Amélie Charles, +1 more
- 01 Jan 2009 - 
TL;DR: In this article, the authors present the conventional individual and multiple variance-ratio (VR) tests as well as their improved modifications based on power-transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others.
Journal ArticleDOI

Investor Herds and Regime-Switching: Evidence from Gulf Arab Stock Markets

Mehmet Balcilar, +2 more
- 17 Sep 2012 - 
TL;DR: In this paper, the authors proposed a dynamic herding approach which takes into account herding under different market regimes, with concentration on the Gulf Arab stock markets (Abu Dhabi, Dubai, Kuwait, Qatar and Saudi Arabia).
Journal ArticleDOI

Is There a Positive Relationship between Stock Market Volatility and the Equity Premium

Chang-Jin Kim, +2 more
- 01 Jun 2004 - 
TL;DR: In this paper, the authors investigated whether evidence for a positive relationship between stock market volatility and the equity premium is more decisive when the volatility feedback effects of large and persistent changes in market volatility are taken into account.
References
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Journal ArticleDOI

Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation

Robert F. Engle
- 01 Jul 1982 - 
TL;DR: In this article, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced, which are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances.
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Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images

Stuart Geman, +1 more
- 01 Nov 1984 - 
TL;DR: The analogy between images and statistical mechanics systems is made and the analogous operation under the posterior distribution yields the maximum a posteriori (MAP) estimate of the image given the degraded observations, creating a highly parallel ``relaxation'' algorithm for MAP estimation.
Journal ArticleDOI

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev, +1 more
- 01 Apr 1986 - 
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
Journal ArticleDOI

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.

James D. Hamilton
- 01 Mar 1989 - 
TL;DR: In this article, the parameters of an autoregression are viewed as the outcome of a discrete-state Markov process, and an algorithm for drawing such probabilistic inference in the form of a nonlinear iterative filter is presented.
Journal ArticleDOI

Sampling-Based Approaches to Calculating Marginal Densities

Alan E. Gelfand, +1 more
- 01 Jun 1990 - 
TL;DR: In this paper, three sampling-based approaches, namely stochastic substitution, the Gibbs sampler, and the sampling-importance-resampling algorithm, are compared and contrasted in relation to various joint probability structures frequently encountered in applications.