Search Results - subject:"Runs Tests"

Predictability in securities price formation: differences between developed and emerging markets

Camilleri, Silvio John; Vassallo, Semiramis; Bai, Ye - In: Journal of capital markets studies 4 (2020) 2, pp. 146-166

returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests …

Persistent link: https://www.econbiz.de/10012395371

Predictability in securities price formation: Differences between developed and emerging markets

Camilleri, Silvio John; Vassallo, Semiramis; Bai, Ye - In: Journal of Capital Markets Studies (JCMS) 4 (2020) 2, pp. 146-166

returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests …

Persistent link: https://www.econbiz.de/10015327898

Behavioral finance and market efficiency in the time of the COVID-19 pandemic : does fear drive the market?

Vasileiou, Evangelos - In: International review of applied economics 35 (2021) 2, pp. 224-241

Persistent link: https://www.econbiz.de/10012485128

Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis

Kaffel, Rania Hentati; Peretti, Philippe De - HAL - 2014

relative returns of hedge funds. Runs tests are implemented on a universe of hedge extracted from HFR database over the period …, results vary with the benchmark nature (hedge or traditional). The paper also emphasizes that runs tests may be a useful tool …

Persistent link: https://www.econbiz.de/10011026186

Martingales in Daily Foreign Exchange Rates: Evidence from Six Currencies against the Lebanese Pound

Azar, Samih Antoine - In: Applied Economics and Finance 1 (2014) 1, pp. 55-64

The purpose of this paper is to test whether the Lebanese foreign exchange rate market is weak form efficient by studying the stochastic behavior of six foreign currencies against the Lebanese pound on a daily basis. Efficiency requires that the data meet more than one condition. The first...

Persistent link: https://www.econbiz.de/10010757737

Generalized runs tests to detect randomness in hedge funds returns

Hentati-Kaffel, Rania; de Peretti, Philippe - In: Journal of Banking & Finance 50 (2015) C, pp. 608-615

The major contribution of this paper is to make use of generalized runs tests (Cho and White, 2011) to analyze the …

Persistent link: https://www.econbiz.de/10011118058

Generalized runs tests to detect randomness in hedge funds returns

Hentati-Kaffel, Rania; De Peretti, Philippe - In: Journal of banking & finance 50 (2015), pp. 608-615

Persistent link: https://www.econbiz.de/10010510178

Detecting performance persistence of hedge funds

Hentati-Kaffel, Rania; De Peretti, Philippe - In: Economic modelling 47 (2015), pp. 185-192

Persistent link: https://www.econbiz.de/10011439064