Mean Reversion

video, whether

Does anyone know whether the mean reverting formula B0/1-B1 is used in all AR models or just AR(1). The Schweser video says it is used in AR(1) but its not clear if its just that order.

xilinx_altera

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2^#

发表于 2011-7-13 13:31 | 只看该作者

I think only in AR(1).

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kingstongal

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3^#

发表于 2011-7-13 13:31 | 只看该作者

I think so. It is based on Xt=Xt-1

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Mean Reversion

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