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Known Unknowns Versus Unknown Unknowns, and Actual Versus Statistical Significance

Bhattacharya, Rajeev R. - 2023

-equation structural system of market efficiency of fixed income securities.MSC Classification Codes: 03; 28; 60; 62; 91 …

Persistent link: https://www.econbiz.de/10014355612

Financial bubbles and recent behaviour of the Latin American stock markets

Uribe, Jorge; Fernández, Julián - In: Lecturas de Economía (2014) 81, pp. 57-90

Financial bubbles and recent behaviour of the Latin American stock markets

Persistent link: https://www.econbiz.de/10010797415

Testing for multiple bubbles with daily data

Gil, Uribe; Mario, Jorge - UNIVERSIDAD DEL VALLE - CIDSE - 2013

A new methodology for testing and dating economic bubbles based on a sign test with recursive median adjustment is presented. The methodology, originally proposed by Soo and Shin (2001) to detect random walks, is well-suited, theoretically, to deal with the many features of high-frequency...

Persistent link: https://www.econbiz.de/10010763438

Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data

Lecarpentier-Moyal, Sylvie; Prat, Georges; … - Institut de Préparation à l'Administration et à la … - 2013

We analyze the empirical relationship between announcement effects and return volatilities of four CAC40 companies using intraday financial and event data from SBF-Euronext and Bloomberg, respectively. We estimate the daily component of the intraday volatility using a FIGARCH model and the...

Persistent link: https://www.econbiz.de/10010754712

Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data

Prat, Georges; Uctum, Remzi; Lecarpentier-Moyal, Sylvie; … - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013

Persistent link: https://www.econbiz.de/10010896337

TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS

Maria, Pece Andreea; Ludusan (Corovei) Emilia Anuta; … - In: Annals of Faculty of Economics 1 (2013) 1, pp. 1113-1124

In this study we tested the existence of long memory in the the return series for major Central Eastern European and Balkans stock markets, using the following statistical methods: Hurst Exponent, GPH method, Andrews and Guggenberger method, Reisen method, Willinger, Taqqu and Teverovsky method...

Persistent link: https://www.econbiz.de/10010685454

Long Memory Analysis: An Empirical Investigation

Nazarian, Rafik; Naderi, Esmaeil; Gandali Alikhani, Nadiya - Volkswirtschaftliche Fakultät, … - 2013

This study is an attempt to review the theory and applications of autoregressive fractionally integrated moving average …

Persistent link: https://www.econbiz.de/10011108581

Back to the futures: An assessment of commodity market efficiency and forecast error drivers

Algieri, Bernardina; Kalkuhl, Matthias - 2014

traditional analyses of efficiency and assess the relative forecasting performance of futures markets; i.e., the difference …

Persistent link: https://www.econbiz.de/10010468226

Back to the futures : an assessment of commodity market efficiency and forecast error drivers

Algieri, Bernardina; Kalkuhl, Matthias - 2014

traditional analyses of efficiency and assess the relative forecasting performance of futures markets; i.e., the difference …

Persistent link: https://www.econbiz.de/10010410400

The Rate of Market Efficiency

Karapandza, Rasa - 2014

price random portfolios, and the Rate of Market Efficiency (RME), which measures market efficiency assuming the best pricing …We define two measures: the Model Performance Ratio (MPR), which ranks asset pricing models based on their ability to … model (largest MPR). We find that: (i) market efficiency has almost doubled in the last four decades; (ii) the CAPM is the …

Persistent link: https://www.econbiz.de/10013066370