한국 주식시장의 평균회귀/이탈 현상 재고찰

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참고문헌 (22)

1. "한국 주식시장, 평균회귀인가, 이탈인가-시간연동모수기법을 이용한 추정", 5(3), pp.97~115 (1999), 한국국제경제학회
2. "주식가격의 평균회귀와 예측가능성에 관한 연구", pp.57~80 (1992)
3. "주식수익률의 평균회귀현상에 관한 연구 재무연구", pp.31~44 (1994), 한국재무학회
4. "장기수익률의 평균회귀현상에 관한 실증연구-무작위화 우도비검정법을 이용한 검정", (9), pp.227~246 (1995), 한국재무학회
5. "Why Are Stock Returns and Volatility Negatively Correlated", pp.749~786 (2005)
6. "A Conditionally Heteroskedastic Time Series Model of Security Prices and Rates of Return Data Review of Economics and Statistics", pp.542~547 (1986)
7. "How Big Is the Random Walk in GNP? Journal of Political Economy", pp.893~920 (1988)
8. "Modeling the Persistence of Conditional Variances", pp.51~56 (1986)
9. "Implied ARCH Models from Options Prices Journal of Econometrics", pp.289~311 (1992)
10. "A New Approach to the Economic Analysis on Nonstationary Time Series and the Business Cycle", eco(metrica), pp.357~384 (1988)
11. "Autoregressive Conditional Heteroscedasticity and Changes in Regime Journal of Econometrics", pp.307~333 (1994)
12. "Seasonality in Stock Price Mean Reversion Evidence from the U Journal of Finance", pp.1427~1444 (1991)
13. "The Analysis of Economic Time Series Journal of the Royal Statistical Society", pp.11~25 (1953)
14. "Is There a Positive Relationship Between Stock Market Volatility and the Equity Premium", 36, pp.339~360 (2004), Credit, and Banking
15. "Testing for Mean Reversion in Heteroskedastic Data Based on Gibbs- sampling-Augmented Randomization", 5, pp.131~154 (1998)
16. "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence Review of Economic Studies", pp.515~528 (1991)
17. "Persistence in variance Journal of Business and Economic Statistics", pp.225~234 (1990)
18. "Evidence from a New Specification Test Review of Financial Studies", pp.41~66 (1988)
19. "Estimating the Market Risk Premium", 73, pp.465~496 (2004)
20. "Mean Reversion in Stock Prices Journal of Financial Economics", pp.27~59 (1988)
21. "Journal of Finance", pp.591~601 (1986)
22. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity", eco(metrica), pp.617~636 (1980)

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