Tests of the Efficient Markets Hypothesis

Reschenhofer, Erhard and Hauser, Michael A. (1997) Tests of the Efficient Markets Hypothesis. Austrian Journal of Statistics, 26 (1). p. 31. ISSN 1026597X

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Abstract

This paper surveys various statistical methods that have been proposed for the examination of the efficiency of financial markets and proposes a novel procedure for testing the predictability of a time series. For illustration, this procedure is applied to Austrian stock return series.

Item Type: Article
Keywords: Random Walk Hypothesis, Stable Distributions, Conditional Heteroscedasticity, Predictability
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Version of the Document: Published
Depositing User: Gertraud Novotny
Date Deposited: 29 Oct 2018 14:39
Last Modified: 29 Oct 2018 17:40
Related URLs:
URI: https://epub.wu.ac.at/id/eprint/6613

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