Mean Reversion in Net Discount Ratios: A Study in the Context of Fractionally Integrated Models

Steven Clark (), T. Daniel Coggin and Faith R. Neale

Journal of Risk & Insurance, 2008, vol. 75, issue 1, 231-247

Abstract: This article introduces a new alternative to the ongoing debate about stationarity and mean reversion of the net discount ratio. Modeling the net discount ratio as a fractionally integrated (I(d)) process, we apply recently developed frequency domain estimation procedures and find evidence that the net discount ratio is an I(d) process with 1/2 ≤d

Date: 2008
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1539-6975.2007.00256.x

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: https://EconPapers.repec.org/RePEc:bla:jrinsu:v:75:y:2008:i:1:p:231-247

Ordering information: This journal article can be ordered from
http://www.wiley.com/bw/subs.asp?ref=0022-4367

Access Statistics for this article

Journal of Risk & Insurance is currently edited by Joan T. Schmit

More articles in Journal of Risk & Insurance from The American Risk and Insurance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().