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

References

Page 1

	Year	Citations
Generalized autoregressive conditional heteroskedasticity Tim Bollerslev Journal of Econometrics EconomicsVolatility ModelingAsset PricingBusinessEconometrics	1986	21.9K
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation Robert F. Engle Econometrica Forecasting MethodologyVolatility ModelingEngineeringMacroeconomic ForecastingEconomic Fluctuation	1982	20.3K
Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images Stuart Geman, Donald Geman IEEE Transactions on Pattern Analysis and Machine Intelligence EngineeringBayesian RestorationMarkov Chain Monte CarloMrf Image ModelDeblurring	1984	17.9K
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle James D. Hamilton Econometrica Mean Growth RateTractable ApproachMacroeconomic ForecastingEconomic FluctuationNonlinear Iterative Filter	1989	9.5K
Sampling-Based Approaches to Calculating Marginal Densities Alan E. Gelfand, A. F. M. Smith Journal of the American Statistical Association Bayesian StatisticsDensity EstimationSampling TheoryBiostatisticsStatistical Inference	1990	6.6K
The Variation of Certain Speculative Prices Benoît B. Mandelbrot The Journal of Business EngineeringPrice BehaviorFinancial MathematicsMarket MicrostructureAsset Pricing	1963	4.6K
ARCH modeling in finance Tim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner Journal of Econometrics EconomicsComputational FinanceFinancial EconomicsBusinessArch Modeling	1992	4.4K
Expected stock returns and volatility Kenneth R. French, G. William Schwert, Robert F. Stambaugh Journal of Financial Economics Expectation FormationVolatility ModelingFinancial EconomicsAsset PricingBusiness	1987	4.2K
Analysis of time series subject to changes in regime James D. Hamilton Journal of Econometrics EngineeringMacroeconomicsTime Series SubjectFinancial Time Series AnalysisBusiness	1990	2K
Mean reversion in stock prices James M. Poterba, Lawrence H. Summers Journal of Financial Economics Financial EconomicsStock PricesAsset PricingMean ReversionMarket Trend	1988	1.9K

Page 1