Cross-country Random Walk Hypothesis and Mean Reverting Long-Memory Properties of Stock Returns: Does the duration for mean reversion varies in equity returns between Pre, during and Post Crisis period?
On
Cross-country Random Walk Hypothesis and Mean Reverting Long-Memory Properties of Stock Returns: Does the duration for mean reversion varies in equity returns between Pre, during and Post Crisis period?
Project description
NASDAQ OMX Nordic Foundation Research Grant was solely led by Prof Sabur Mollah.
Key research outputs
- Joseph, N., Thi Thuy Anh Vo, Mobarek, A., and Mollah, S. Volatility and Asymmetric Dependence in Central and East European Stock Markets. Review of Quantitative Finance and Accounting. Accepted
