Testing the efficient market hypothesis in conditionally heteroskedastic futures markets

https://hdl.handle.net/10536/DRO/DU:30057282
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posted on 2013-11-01, 00:00 authored by Joakim WesterlundJoakim Westerlund, Paresh Narayan

Testing the efficient market hypothesis in conditionally heteroskedastic futures markets

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1.
DOI - Is version of https://doi.org/10.1002/fut.21624

Location

Malden, Mass.

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2013, John Wiley & Sons

Journal

Journal of futures markets

Volume

33

Pagination

1024 - 1045

ISSN

0270-7314

eISSN

1096-9934

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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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