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Wavelet based sample entropy analysis : a new method to test weak form market efficiency
Kumar, Anoop S.; Kamaiah, Bandi - In: Theoretical and applied economics : GAER review 21 (2014) 8, pp. 19-26
Persistent link: https://www.econbiz.de/10011558026
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Causality in the aluminum market
Clark, Andrew - In: Journal of commodity markets 27 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10014276626
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Testing Market Efficiency in a Fixed Odds Betting Market
Jakobsson, Robin; Karlsson, Niklas - 2007
This paper tests the hypothesis of market efficiency for the fixed odds betting market of Swedish trotting head …-strong efficiency at the 5 percent level of significance, while the weak form efficiency cannot be rejected. Moreover, evaluation of the …
Persistent link: https://www.econbiz.de/10012654330
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Testing Market Efficiency in a Fixed Odds Betting Market
Jakobsson, Robin; Karlsson, Niklas - Handelshögskolan, Örebro Universitet - 2007
This paper tests the hypothesis of market efficiency for the fixed odds betting market of Swedish trotting head …-strong efficiency at the 5 percent level of significance, while the weak form efficiency cannot be rejected. Moreover, evaluation of the …
Persistent link: https://www.econbiz.de/10005644784
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A new approach to portfolio management in the Brazilian equity market : does assets efficiency level improve performance?
Maciel, Leandro - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 38-56
Persistent link: https://www.econbiz.de/10012656193
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Gastos em educação : mais recursos sem gestão?
Castro, Carlos Renato de Melo; Souza, Geraldo da Silva e; … - In: Economia aplicada : EA 21 (2017) 2, pp. 285-309
Persistent link: https://www.econbiz.de/10011900094
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Market Efficiency, Roughness and Long Memory in the PSI20 Index Returns: Wavelet and Entropy Analysis
Pascoal, Rui; Monteiro, Ana Margarida - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2013
In this study, features of financial returns of PSI20 index, related to market efficiency, are captured using wavelet … wavelets. Second, the degree of roughness, or regularity variation, associated to the Hölder exponent, fractal dimension and …, the Tsallis q-triplet. They allow to study the existence of efficiency in the nancial market. On the other hand, the study …
Persistent link: https://www.econbiz.de/10010834001
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Wavelet-Based Estimation for Univariate Stable Laws
Antoniadis, Anestis; Feuerverger, Andrey; Gonçalves, Paulo - In: Annals of the Institute of Statistical Mathematics 58 (2006) 4, pp. 779-807
Persistent link: https://www.econbiz.de/10005760254
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Dependency relations among international stock market indices
Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of Risk and Financial Management 8 (2015) 2, pp. 227-265
We develop networks of international stock market indices using information and correlation based measures. We use 83 stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and the flow of information from one stock index to another...
Persistent link: https://www.econbiz.de/10011843259
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Causality in econometric modeling: From theory to structural causal modeling
Mouchart, Michel; Orsi, Renzo; Wunsch, Guillaume - 2020
This paper examines different approaches for assessing causality as typically followed in econometrics and proposes a constructive perspective for improving statistical models elaborated in view of causal analysis. Without attempting to be exhaustive, this paper examines some of these...
Persistent link: https://www.econbiz.de/10012658409