A GARCH model for testing market efficiency

Narayan, Paresh Kumar and Liu, Ruipeng 2015, A GARCH model for testing market efficiency, Deakin University, School of Accounting, Economics and Finance, Geelong, Vic..

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Title A GARCH model for testing market efficiency
Author(s) Narayan, Paresh KumarORCID iD for Narayan, Paresh Kumar orcid.org/0000-0001-7934-8146
Liu, RuipengORCID iD for Liu, Ruipeng orcid.org/0000-0003-4174-6135
Publication date 2015
Series School Working paper - Financial Econometrics Series ; SWP 2015/01
Total pages 31
Publisher Deakin University, School of Accounting, Economics and Finance
Place of publication Geelong, Vic.
Keyword(s) Efficient Market Hypothesis
Unit Root
Structural Break
Stock Price
Notes This working paper was later published online in the journal 'Journal of International Financial Markets, Institutions and money' and is available online: http://www.dx.doi.org/10.1016/j.intfin.2015.12.008
Language eng
HERDC Research category CN.1 Other journal article
Related work DU:30081583
Copyright notice ©2015, The Authors
Persistent URL http://hdl.handle.net/10536/DRO/DU:30106792

Document type: Report
Collections: Faculty of Business and Law
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