A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency

DOI10.1007/978-3-319-89824-7_18zbMath1397.62506OpenAlexW2800871002MaRDI QIDQ4689044

Fulvia Pennoni, Francesco Bartolucci, Alessandro Cardinali

Publication date: 12 October 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-89824-7_18

zbMATH Keywords

martingalestrading strategiesnonparametric bootstrap test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Martingales with continuous parameter (60G44)

Cites Work

• Unnamed Item
• Simulated power functions
• Generalized autoregressive conditional heteroscedasticity
• Costationarity of Locally Stationary Time Series

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