What proportion of time is a particular market inefficient? {\dots} A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions

DOI10.1515/JTSE-2016-0021MaRDI QIDQ1669692zbMATH OpenOpenAlexFDO

Authors Peng Zhang

Publication date 4 September 2018

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jtse-2016-0021

zbMATH Keywords

bubblesmarket efficiencythreshold autoregressions

Mathematics Subject Classification ID

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

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Cites work

• A Markov model for switching regressions
• A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
• Analysis of time series subject to changes in regime
• Some new results for threshold AR\((1)\) models
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Threshold models in time series analysis -- 30 years on

Cited in

(1)

• Measuring and monitoring the efficiency of markets

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