Detection of mean reversion point based on quantiles of extreme value distribution: evidences from Iran and international markets
Purpose: Deciding on the existence of the mean reversion property in financial data has attracted the attention of many researchers, and different tests have been proposed to evaluate the presence of this feature in the data. However, due to the highly variable nature of financial markets in differe...
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| Автори: | , |
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| Формат: | Artigo |
| Мова: | Persa |
| Опубліковано: |
Ayandegan Institute of Higher Education, Tonekabon,
2021-08-01
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| Серія: | تصمیم گیری و تحقیق در عملیات |
| Предмети: | |
| Онлайн доступ: | https://www.journal-dmor.ir/article_125463_ac9f31026266f65c9ec6348ae606bce9.pdf |
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