What proportion of time is a particular market inefficient? {\dots} A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
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Publication:1669692
DOI10.1515/jtse-2016-0021zbMath1462.62713OpenAlexW2883699443MaRDI QIDQ1669692
Publication date: 4 September 2018
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jtse-2016-0021
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Threshold models in time series analysis -- 30 years on
- Analysis of time series subject to changes in regime
- A Markov model for switching regressions
- A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
- Some New Results for Threshold AR(1) Models
- TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
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