Testing the efficient market hypothesis in conditionally heteroskedastic futures markets

journal contribution

posted on 2013-11-01, 00:00 authored by Joakim WesterlundJoakim Westerlund, Paresh Narayan

Testing the efficient market hypothesis in conditionally heteroskedastic futures markets

History

Journal

Journal of futures markets

Volume

33

Issue

11

Pagination

1024 - 1045

Publisher

John Wiley & Sons

Location

Malden, Mass.

Publisher DOI

https://doi.org/10.1002/fut.21624

ISSN

0270-7314

eISSN

1096-9934

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2013, John Wiley & Sons

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Keywords

efficient market hypothesis heteroskedasticity data Social Sciences Business, Finance Business & Economics C12 C22 G1 COINTEGRATION TESTS PRICE DISCOVERY PARAMETERS ESTIMATORS ARBITRAGE VECTOR MODELS

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All Rights Reserved

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