Efficient capital markets: a statistical definition and comments

DOI10.1016/J.SPL.2006.09.007zbMATH Open1116.62115OpenAlexW2084362341MaRDI QIDQ2643741FDOQ2643741

Authors: Alexandros E. Milionis 

Publication date: 27 August 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.09.007

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zbMATH Keywords

return predictabilitymarket efficiencymarket efficiency in the presence of GARCH-M modelsserial correlation in stock returns

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Title not available (Why is that?)
• Probability with Martingales
• Title not available (Why is that?)

Cited In (3)

• The meaning of market efficiency
• Market truths: theory versus empirical simulations
• Examining the first stages of market performance: A test for evolving market efficiency

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