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Investigations of Nonstationarity in Prices

Author

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  • Boness, A James
  • Chen, Andrew H Y
  • Jatusipitak, Som

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Suggested Citation

  • Boness, A James & Chen, Andrew H Y & Jatusipitak, Som, 1974. "Investigations of Nonstationarity in Prices," The Journal of Business, University of Chicago Press, vol. 47(4), pages 518-537, October.
    • Handle: RePEc:ucp:jnlbus:v:47:y:1974:i:4:p:518-37
    DOI: 10.1086/295679
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    Cited by:

    1. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
    2. Roger P. Bey & Richard C. Burgess & Richard B. Kearns, 1984. "Moving Stochastic Dominance: An Alternative Method For Testing Market Efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(3), pages 185-196, September.
    3. de Jesús, Raúl & Ortiz, Edgar & Cabello, Alejandra, 2013. "Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 139-152.
    4. Kim, Dongcheol & Kon, Stanley J., 1999. "Structural change and time dependence in models of stock returns," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 283-308, September.
    5. Thao Nguyen & Min Bai & Greg Hou & Cameron Truong, 2022. "Drought risk and capital structure dynamics," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(3), pages 3397-3439, September.
    6. Laure Jehlen, 2010. "Market and Economic Regulation Periodicity: A Feature that Allows Prevention and Regulation," American Journal of Economics and Business Administration, Science Publications, vol. 2(4), pages 366-376, November.

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