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Multifractal analysis of market efficiency across structural breaks: Implications for the adaptive market hypothesis

Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of Risk and Financial Management 13 (2020) 10, pp. 1-18

The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are...

Persistent link: https://www.econbiz.de/10012611450

Multifractal analysis of market efficiency across structural breaks : implications for the adaptive market hypothesis

Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of risk and financial management : JRFM 13 (2020) 10/248, pp. 1-18

Persistent link: https://www.econbiz.de/10012387122

Time-varying price-volume relationship and adaptive market efficiency : a survey of the empirical literature

Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of risk and financial management : JRFM 12 (2019) 2/105, pp. 1-18

This paper conducts a review of the literature on the price–volume relationship and its relation with the implications of the adaptive market hypothesis. The literature on market efficiency is classified as efficient market hypothesis (EMH) studies or adaptive market hypothesis (AMH) studies....

Persistent link: https://www.econbiz.de/10012021910

Is there a scientific basis for accounting? : implications for practice, research, and education

Basu, Sudipta - In: Journal of international accounting research 14 (2015) 2, pp. 235-265

Persistent link: https://www.econbiz.de/10011429489

Modeling electricity spot prices : combining mean reversion, spikes, and stochastic volatility

Mayer, Klaus; Schmid, Thomas; Weber, Florian - In: The European journal of finance 21 (2015) 4/6, pp. 292-315

Persistent link: https://www.econbiz.de/10010528197

Do Asia-Pacific stock prices follow a random walk? : a regime-switching perspective

Shen, Xin; Holmes, Mark J. - In: Applied economics letters 21 (2014) 1/3, pp. 189-195

Persistent link: https://www.econbiz.de/10010239896

Potential gains from predicting the timing of stock market persistence and mean reversion

Hsieh, Heng-Hsing - In: Investment management and financial innovations 10 (2013) 3, pp. 55-67

Persistent link: https://www.econbiz.de/10010201509

Marking to two-price markets

Madan, Dilip B. - In: The journal of asset management 17 (2016) 2, pp. 100-118

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The exchange rate volatility in the Central and Eastern European Countries

Dumitrescu, Bogdan; Roşca, Silvia Maria - In: Theoretical and applied economics : GAER review 22 (2015) 2, pp. 189-198

Persistent link: https://www.econbiz.de/10011561529

Mean reversion of short-run interest rates : empirical evidence from new EU countries

Barros, Carlos Pestana; Gil-Alaña, Luis A.; Matousek, Roman - In: The European journal of finance 18 (2012) 1/2, pp. 89-107

Persistent link: https://www.econbiz.de/10009565250