Weak Form Efficiency of Selected European Stock Markets: Alternative Testing Approaches

DOI10.1007/978-3-319-02499-8_1zbMath1407.62419OpenAlexW2258428663MaRDI QIDQ4561894

Giuseppina Albano, Cira Perna, Michele La Rocca

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02499-8_1

zbMATH Keywords

efficient market hypothesisfamilywise error ratewild bootstrapreturn time seriesdata analysis application

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)

Cites Work

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• A simple multiple variance ratio test
• The Stationary Bootstrap
• Stepwise Multiple Testing as Formalized Data Snooping
• Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing

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