Thanks for the charts David. Does anyone have an opinion as to what changed this decade to cause the switch?
Thanks again for the excellent work.
My rough stats show that the mean reversion tendency weakened somewhat in the 1st half (vs ’08) and further deteriorated in Q3 (consistent with others findings). What thresholds of time & level changes do you use to test for regime changes?
Fill in your details below or click an icon to log in:
You are commenting using your WordPress.com account. ( Log Out / Change )
You are commenting using your Twitter account. ( Log Out / Change )
You are commenting using your Facebook account. ( Log Out / Change )
You are commenting using your Google+ account. ( Log Out / Change )
Connecting to %s
Notify me of new comments via email.
Enter your email address to follow this blog and receive notifications of new posts by email.
Join 1,061 other followers
Create a free website or blog at WordPress.com.