Purpose: Filter trading is a technical trading rule that has been used extensively to test the efficient market hypothesis in the context of long-term trading. In this paper, the authors adopt the rule to analyze intraday trading, in which an open position is not left overnight. This paper aims...

This paper introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroskedasticity (BAR-GARCH). The proposed model, as an extension of the BAR model in Li et al. (2013), can capture the buffering phenomenon of time series in both conditional...