Econometric tests of rationality and market efficiency

DOI10.1080/07474938908800165zbMath0718.62284OpenAlexW2063978133MaRDI QIDQ5750316

Richard T. Baillie

Publication date: 1989

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938908800165

zbMATH Keywords

rational expectationscointegrationnonstationarityFisher equationvector time series modelspresent value modelsmartingale difference model of asset prices

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY ⋮ Market efficiency and returns to simple technical trading rules: Further evidence from U.S., U.K., Asian and Chinese stock markets ⋮ Long memory processes and fractional integration in econometrics ⋮ Exact rational expectations, cointegration, and reduced rank regression ⋮ ARCH modeling in finance. A review of the theory and empirical evidence ⋮ Prediction in dynamic models with time-dependent conditional variances ⋮ The forward discount puzzle and market efficiency ⋮ The New Keynesian Phillips curve revisited ⋮ Testing exact rational expectations in cointegrated vector autoregressive models

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