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Pressupostos de Eficiência de Mercado: um estudo empírico na Bovespa

Lucena, Pierre; Fugueiredo, Antonio Carlos - Volkswirtschaftliche Fakultät, … - 2004

This paper is about one of the most argued subjects in the financial theory: the forecast of future returns. We work with the model of multifactor of Fama and French, and the regression presented for Grinblatt and Moskowitz (2002), that work with the size of the company and the book-to-value. We...

Persistent link: https://www.econbiz.de/10011258072

Analysis on Runs of Daily Returns in Istanbul Stock Exchange

Şensoy, Ahmet - Volkswirtschaftliche Fakultät, … - 2012

The aim of this paper is to obtain some statistical properties about runs of daily returns of ISE30, ISE50 and ISE100 indices and compare these results with the empirical stylized facts of developed stock markets. In this manner, all time historical daily closing values of these indices are...

Persistent link: https://www.econbiz.de/10011260280

On the Power of Invariant Tests for Hypotheses on a Covariance Matrix

Preinerstorfer, David; Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2014

The behavior of the power function of autocorrelation tests such as the Durbin-Watson test in time series regressions … for spatial correlation and to autocorrelation testing in time series regression models. We also characterize the …

Persistent link: https://www.econbiz.de/10011127579

Distributions escaping to infinity and the limiting power of the Cliff-Ord test for autocorrelation

Mynbaev, Kairat - Volkswirtschaftliche Fakultät, … - 2011

autocorrelation. The applications include the theory of characteristic functions of proper random variables, the theory of almost …

Persistent link: https://www.econbiz.de/10011111232

Autocorrelation in economic indicators before and after Natural Disaster

Hasan, Syed Akif; Subhani, Muhammad Imtiaz; Osman, Ms. Amber - Volkswirtschaftliche Fakultät, … - 2012

This study investigates the autocorrelation in economic indicators of Pakistan before and after Natural disaster in the …

Persistent link: https://www.econbiz.de/10011111867

Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India

Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2014

This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...

Persistent link: https://www.econbiz.de/10011113081

Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India

Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2013

The present paper evaluates whether the adaptive market hypothesis provides a better description of the behavior of Indian stock market using daily values of Sensex and Nifty, the two major indices of India from January 1991 to April 2013. We employed linear and nonlinear methods to evaluate the...

Persistent link: https://www.econbiz.de/10011113613

On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests

Preinerstorfer, David; Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2013

potential heteroscedasticity or autocorrelation amongst the disturbances, leading to so-called heteroskedasticity and … autocorrelation robust test procedures. These procedures have been developed with the purpose of attenuating size distortions and … finite-sample results concerning the size and power properties of a large class of heteroskedasticity and autocorrelation …

Persistent link: https://www.econbiz.de/10011113717

The Almost Ideal and Translog Demand Systems

Holt, Matthew T.; Goodwin, Barry K. - Volkswirtschaftliche Fakultät, … - 2009

for autocorrelation in the model's residuals. A set of empirical examples for the AIDS and a the log TL version of the …

Persistent link: https://www.econbiz.de/10005014717

Characteristic function approach to the sum of stochastic variables

Figueiredo, Annibal; Gleria, Iram; Matsushita, Raul; Da … - Volkswirtschaftliche Fakultät, … - 2006

This paper puts forward a technique based on the characteristic function to tackle the problem of the sum of stochastic variables. We consider independent processes whose reduced variables are identically distributed, including those that violate the conditions for the central limit theorem to...

Persistent link: https://www.econbiz.de/10005621807