Testing for weak-form efficiency of crude palm oil spot and future markets : new evidence from a GARCH unit root test with multiple structural breaks
Year of publication: |
2015
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Authors: | Hooi Hooi Lean ; Smyth, Russell |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 47.2015, 16/18, p. 1710-1721
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Subject: | unit root | future markets | heteroscedasticity | efficiency market hypothesis | Einheitswurzeltest | Unit root test | Strukturbruch | Structural break | Effizienzmarkthypothese | Efficient market hypothesis | Schätzung | Estimation | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Palmöl | Palm oil | Theorie | Theory | Warenbörse | Commodity exchange |
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