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Temporal Dependencies in UK regional House Prices
Time reversibility time irreversibility nonlinearity regional house prices
2010/9/7
Using tests of time deformation and time reversibility, this paper provides further statistical evidence on the univariate time series properties of UK regional house prices, and on the potentially no...
Nonlinear Mean Reversion in Stock Prices
Fundamental value mean reversion present value model STAR model
2010/9/7
In this paper we investigate mean reversion dynamics in the deviation of the yearly S&P 500 index from its fundamental value. We consider different versions of the present value model with constant an...