Martingales, detrending data, and the efficient market hypothesis
نویسندگان
چکیده
منابع مشابه
efficient capital market hypothesis
the introductory issue of the journal of financial research contains six articles in farsi and one in english. it also offers a glossary of financial terminology. the first article deals with the efficient capital market hypothesis , and is authored by dr. ali jahankhani & hussein abdoh tabrizi. it explains the concept and theories of capital market efficiency and their historical development i...
متن کاملThe Efficient Market Hypothesis and Its Critics
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your perso...
متن کاملDetrending Time-Aggregated Data
This paper examines the combined influences of detrending and time aggregation on the measurement of business cycles. The approximate band-pass filter of Baxter and King (1999) performs relatively well in the sense that it retains the basic shape of disaggregate spectra and cospectra when applied to time aggregated data and is straightforward to apply across sampling intervals. Analysis of know...
متن کاملPredictability of Asset Returns and the Efficient Market Hypothesis
Predictability of Asset Returns and the Efficient Market Hypothesis This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk aversion and market efficiency. T...
متن کاملa study on insurer solvency by panel data model: the case of iranian insurance market
the aim of this thesis is an approach for assessing insurer’s solvency for iranian insurance companies. we use of economic data with both time series and cross-sectional variation, thus by using the panel data model will survey the insurer solvency.
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2008
ISSN: 0378-4371
DOI: 10.1016/j.physa.2007.08.019