Efficient capital markets: a statistical definition and comments

DOI10.1016/J.SPL.2006.09.007MaRDI QIDQ2643741zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Generalized autoregressive conditional heteroscedasticity
• Probability with Martingales

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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