Half-life bias correction and the G7 stock markets

Hyeongwoo Kim (), Liliana V. Stern and Michael L. Stern ()

Economics Letters, 2010, vol. 109, issue 1, pages 1-3

Abstract: We look at alternative methods to correct a downward bias in half-life estimates of relative stock prices among the G7 countries. We compare a grid-[alpha] median-unbiased method and a recursive mean adjustment method.

Keywords: International; equity; prices; Recursive; mean; adjustment; Unit-root; process (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6V84 ... 67542c844dfd44ebfe9d
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:109:y:2010:i:1:p:1-3

Access Statistics for this article

Economics Letters is edited by E. Maskin

More articles in Economics Letters from Elsevier
Series data maintained by Jeroen Loos ().