What proportion of time is a particular market inefficient? : a method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
Year of publication: |
Jul 2018
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Authors: | Ahmed, Muhammad Farid ; Satchell, Stephen |
Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 10.2018, 2, p. 1-22
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Subject: | market efficiency | bubbles | threshold auto-regressions | Effizienzmarkthypothese | Efficient market hypothesis | Spekulationsblase | Bubbles | Autokorrelation | Autocorrelation | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Simulation | Theorie | Theory | Welt | World |
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