The adjustment based on AR(1) fitting as proposed by Miller et al. (1994)
Usage
Adjust.thin(y)
Value
Adjusted return
Arguments
y
financial return time series
Author
Jae H. Kim
References
Miller et al. (1994), Mean Reversion of Standard & Poor's 500 Index Base Changes: Arbitrage Induced or Statistical Illusion
Journal of Finance, XLIX, 479-513.