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-2016-0021zbMATH Open1462.62713OpenAlexW2883699443MaRDI QIDQ1669692FDOQ1669692

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

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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)

Cites Work

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

Cited In (1)

• Measuring and monitoring the efficiency of markets

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