What can price volatility tell us about market efficiency? Conditional heteroscedasticity in historical commodity price series.
Year of publication: |
2011
|
---|---|
Authors: | Földvári, Péter ; Leeuwen, Bas van |
Published in: |
Cliometrica, Journal of Historical Economics and Econometric History. - Association Française de Cliométrie - AFC. - Vol. 5.2011, 2, p. 165-186
|
Publisher: |
Association Française de Cliométrie - AFC |
Subject: | Market efficiency | Conditional heteroscedasticity | Price volatility | Time-series analysis |
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