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• W2183972873 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." @default.
• W2183972873 created "2016-06-24" @default.
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• W2183972873 date "2007-01-01" @default.
• W2183972873 modified "2023-10-18" @default.
• W2183972873 title "MEAN REVERSION IN THE NIKKEI, STANDARD & POOR AND DOW JONES STOCK MARKET INDICES" @default.
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