A GARCH model for testing market efficiency
Paresh Kumar Narayan, Ruipeng Liu, Joakim Westerlund
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Narayan, Paresh Kumar ; Liu, Ruipeng ; Westerlund, Joakim |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 41.2016, p. 121-138
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| Subject: | Efficient market hypothesis | GARCH | Unit root | Structural break | Stock price | Effizienzmarkthypothese | ARCH-Modell | ARCH model | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Strukturbruch | Aktienmarkt | Stock market | Schätztheorie | Estimation theory | Einheitswurzeltest | Unit root test | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2015.12.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011475947