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Half-life bias correction and the G7 stock markets

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

Economics Letters, 2010, vol. 109, issue 1, 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
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