Testing for efficiency and non-linearity in market and natural time series

DOI10.1080/02664760500250370zbMath1211.91205OpenAlexW2037785149MaRDI QIDQ3426394

Douglas Wood, Teo Jašić

Publication date: 8 March 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760500250370

zbMATH Keywords

neural networksnon-linearityefficiency testsmarket versus natural data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

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• Modelling the persistence of conditional variances
• Long-Term Memory in Stock Market Prices
• A test for independence based on the correlation dimension
• Artificial neural networks: an econometric perspective^∗

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