The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process
使用允许参数随时间变化的检验统计量，研究证券收益的时间-方差关系，拒绝了平稳独立增量的原假设，并报告了复杂的短期反转现象。
ABSTRACT Using a test statistic which specifically allows for parameter shifts over time, we investigate the time‐variance relationship of security returns. The null hypothesis of stationary and independent increments is rejected, and the existence of a complex short‐term reversal phenomenon is reported.