Jian Liu

affiliation not provided to SSRN

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Scholarly Papers (1)

1.

Temporary Components of Stock Prices: New Univariate Results

Journal of Financial and Quantitative Analysis, Vol. 28, 161-176, 1993
Number of pages: 21 Posted: 28 Oct 2008
B. Espen Eckbo and Jian Liu
Tuck School of Business at Dartmouth and affiliation not provided to SSRN
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Abstract:

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Random walk, predictable components of stock prices, mean reversion, lower bound, ARIMA process, variance proportion estimate