New approaches to robust inference on market (non-)efficiency, volatility clustering and nonlinear dependence
Rustam Ibragimov, Rasmus Søndergaard Pedersen and Anton Skrobotov
| Year of publication: |
2024
|
|---|---|
| Authors: | Ibragimov, Rustam Ju. ; Pedersen, Rasmus Søndergaard ; Skrobotov, Anton |
| Subject: | GARCH | market efficiency | nonlinear dependence | robust inference | t-test | volatility clustering | Volatilität | Volatility | ARCH-Modell | ARCH model | Effizienzmarkthypothese | Efficient market hypothesis | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Clusteranalyse | Cluster analysis | Statistischer Test | Statistical test | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015338767