A new method based on range to detect mean reversion
We propose a new measure of risk called the expected lifetime range (ELR) ratio, based on high and low prices. We point out that it becomes possible for us to uncover the evidence of mean reversion based on the new ELR ratio even when the classic Lo and MacKinlay (LM) (1988) statistic does not detec...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-06-01
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| Series: | IIMB Management Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S0970389620300410 |