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-2016-0021zbMath1462.62713MaRDI QIDQ1669692

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

bubbles; market efficiency; threshold autoregressions

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)