Analysis of HF data on the WSE in the context of EMH
Year of publication: |
2008
|
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Authors: | Strawiński, Paweł ; Ślepaczuk, Robert |
Institutions: | Wydział Nauk Ekonomicznych, Uniwersytet Warszawski |
Subject: | high-frequency financial data | robust analysis | pre-weighting | efficient market hypothesis | calendar effects | intra-day effects | the open jump effect | the end of session effect | emerging markets |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in the Journal of Applied Economic Sciences (Craiova, RO) vol.III, issue 3(5)/2008, Fall 2008, pages 306-319 Number 2008-08 19 pages |
Classification: | G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C22 - Time-Series Models |
Source: |
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STRAWINSKI, Pawel, (2008)
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Analysis of HF data on the WSE in the context of EMH
Strawinski, Pawel, (2008)
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