Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets-Reference-Cited by-同舟云学术

Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets

Published:2013-06-10 Issue:11 Volume:33 Page:1024-1045
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Westerlund Joakim¹,Narayan Paresh¹

Affiliation:

1. Joakim Westerlund and Paresh Narayan are collocated at the Faculty of Business and Law; School of Accounting, Economics and Finance, Deakin University; Melbourne Burwood Campus; VIC; Australia

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21624/fullpdf

Reference44 articles.

1. Hybrid and size-corrected subsampling methods;Andrews;Econometrica,2009

2. Bivariate GARCH estimation of the optimal commodity futures hedge;Baillie;Journal of Applied Econometrics,1991

3. Cointegration and market efficiency in commodity futures markets;Beck;Applied Economics,1994

4. Cointegration: Some results on US cattle prices;Bessler;Journal of Futures Markets,1991

5. Modeling coherence in short-run nominal exchange rates: A multivariate generalized ARCH approach;Bollerslev;Review of Economics and Statistics,1990

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