Nonlinear Mean Reversion in Stock Prices

CFA Digest ◽  
2008 ◽  
Vol 38 (4) ◽  
pp. 37-38
Author(s):  
Michael Kobal
Keyword(s):  
Stock Prices ◽  
Mean Reversion ◽  
Nonlinear Mean Reversion

scholarly journals Nonlinear mean reversion in stock prices: evidence from Asian markets

2007 ◽  
Vol 3 (1) ◽  
pp. 25-29 ◽  
Author(s):  
Kian-Ping Lim ◽  
Venus Khim-Sen Liew
Keyword(s):  
Stock Prices ◽  
Mean Reversion ◽  
Nonlinear Mean Reversion

Nonlinear mean reversion in stock prices

2008 ◽  
Vol 32 (5) ◽  
pp. 767-782 ◽  
Author(s):  
Turan G. Bali ◽  
K. Ozgur Demirtas ◽  
Haim Levy
Keyword(s):  
Stock Prices ◽  
Mean Reversion ◽  
Nonlinear Mean Reversion

Exchange rates in India: current account monetarism in a nonlinear context

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Aditi Chaubal
Keyword(s):  
Exchange Rate ◽  
Current Account ◽  
Polynomial Function ◽  
Mean Reversion ◽  
Smooth Transition ◽  
Monetary Model ◽  
Forecast Performance ◽  
Long Run ◽  
Nonlinear Mean Reversion ◽  
Long Run Equilibrium

AbstractThe Indian exchange rate system has evolved from a pegged system to the current managed float. The study examines the presence of a long-run equilibrium in the monthly Indian exchange rate (Rs/USD) using a current account monetary model (or flexible price monetary model) while accounting for different nonlinearities over the period January 1993 to January 2014 (pre-inflation targeting period). The nonlinear adjustment to disequilibria is modelled using a nonlinear error correction model (NLECM). The nonlinear current account monetarism (CAM) model includes nonlinear transformations of long-run dynamics in the ECM to account for different nonlinearities: multiple equilibria (cubic polynomial function), nonlinear mean reversion (rational polynomial function), and smooth and gradual regime switches (exponential smooth transition autoregressive (ESTAR) function). The NLECM-ESTAR model outperforms other alternatives based on model and forecast performance measures, implying the existence of nonlinear mean reversion and smooth transition across different periods of overvaluation and undervaluation of the exchange rate. This implies the presence of asymmetric adjustment to the movements from the long-run equilibrium, but the nature of such transitions is smooth and not abrupt. The paper also establishes the uniqueness of the long-run equilibrium. A comparison to the sticky price monetary model could not be made due to stationary exchange rate disequilibrium.

Nonlinear mean-reversion in Southeast Asian real exchange rates

2011 ◽  
Vol 21 (19) ◽  
pp. 1409-1421 ◽  
Author(s):  
Doo-Yull Choi ◽  
Bong-Han Kim ◽  
See-Won Kim
Keyword(s):  
Exchange Rates ◽  
Real Exchange Rates ◽  
Mean Reversion ◽  
Southeast Asian ◽  
Nonlinear Mean Reversion

scholarly journals Mean Reversion in Stock Prices: Evidence and Implications

10.3386/w2343 ◽  
1987 ◽  
Author(s):  
James Poterba ◽  
Lawrence Summers
Keyword(s):  
Stock Prices ◽  
Mean Reversion
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