What Proportion of Time is a Particular Market Inefficient? … A Method for Analysing the Frequency of Market Efficiency when Equity Prices Follow Threshold Autoregressions
Author:
Affiliation:
1. Faculty of Economics , Selwyn College, University of Cambridge , Sidgwick Avenue Cambridge , Cambridge , CB3 9DD , UK
2. University of Sydney , Camperdown , NSW 2006 , Australia
3. Trinity College, University of Cambridge , Cambridge , UK
Abstract
Publisher
Walter de Gruyter GmbH
Subject
Economics and Econometrics
Reference21 articles.
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3. Evans, G.W. 1991. “Pitfalls in Testing for Explosive Bubbles in Asset Prices.” American Economic Review 81: 1189–1214.
4. Fama, E.F. 1965. “The Behaviour of Stock-Market Prices.” Journal of Business 38 (1): 34–105.
5. Goldfeld, S.M., and R.E. Quandt. 1973. “A Markov Model for Switching Regressions.” Journal of Econometrics 1: 3–16.
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