Results 11 to 20 of about 1,056 (134)

Adaptive market hypothesis: An empirical analysis of time –varying market efficiency of cryptocurrencies

Cogent Economics & Finance, 2020
This study examines the adaptive market hypothesis (AMH) in relation to time-varying market efficiency by using three tests, namely Generalized Spectral (GS), Dominguez-Lobato (DL) and the automatic portmanteau test (AP) test on four-digital currencies ...
Ambreen Khursheed, Muhammad Naeem, Sheraz Ahmed, Faisal Mustafa   +3 more
doaj   +1 more source

Assessing the role of spatial externalities in the survival of Italian innovative startups

Regional Science Policy &Practice, EarlyView., 2023
Abstract The paper provides novel empirical evidence about the effects of spatial externalities on the survival of innovative startups in Italy. Using geocoded firm‐level data, we build micro‐geographic measures of specialization and diversity that are robust to the modifiable areal unit problem.
Diego Giuliani, Daniele Toffoli, Maria Michela Dickson, Andrea Mazzitelli, Giuseppe Espa   +4 more
wiley   +1 more source

Are Asian Sharīʼah-Compliant Equity Indices Predictable

Pakistan Journal of Islamic Research, 2021
This study examines the informational efficiency in the weak-form of Islamic (Sharīʼah-compliant) equity indices of selected countries by testing the Martingale Difference Hypothesis and the Random Walk Hypothesis. The study applies Automatic Portmanteau
Muhammad Umer Quddoos, Muhammad Shehryar, Asif Yaseen   +2 more
doaj  

Testing the martingale difference hypothesis using martingale difference divergence function

, 2023
This article proposes a novel test for the martingale difference hypothesis based on the martingale difference divergence function, a recently developed dependence measure suitable for measuring the degree of conditional mean dependence of a random variable with respect to another. First, we discuss the use of martingale difference divergence in a time
openaire   +2 more sources

Shrinkage Based Tests of the Martingale Difference Hypothesis [PDF]

SSRN Electronic Journal, 2006
In this paper we define a family of tests for the Martingale Difference Hypothesis (MDH) based upon a shrinkage principle. Tests within this family are such that rejection of the null implies that forecasts from the alternative model, adjusted by a shrinkage factor, will display lower Mean Square Prediction Error (MSPE) than forecasts from the null ...
openaire   +2 more sources

A Simple Out-of-Sample Test for the Martingale Difference Hypothesis [PDF]

SSRN Electronic Journal, 2013
We show that a straightforward modification of a trading based test for predictability displays interesting advantages over the Excess Profitability (EP) test (proposed by Anatolyev and Gerco) when testing the Martingale Difference Hypothesis. Our statistic is called Straightforward Excess Profitability (SEP) and avoids the calculation of a term that ...
openaire   +1 more source

Adaptive Market Hypothesis and Predictability: Evidence in Latin American Stock Indices

Latin American Research Review
This article examines the adaptive market hypothesis in the five most important Latin American stock indices. To that end, we apply three versions of the variance ratio test, as well as the Brock-Dechert-Scheinkman test for nonlinear predictability ...
Andrés R. Cruz-Hernández, Andrés Mora-Valencia   +1 more
doaj   +1 more source

A Comparison of Realized Measures of Integrated Volatility: Price Duration‐ vs. Return‐Based Approaches

Journal of Forecasting, EarlyView.
ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann, Mawuli Segnon, Timo Wiedemann   +2 more
wiley   +1 more source

Predictive Patterns and Market Efficiency: A Deep Learning Approach to Financial Time Series Forecasting

Mathematics
This study explores market efficiency and behavior by integrating key theories such as the Efficient Market Hypothesis (EMH), Adaptive Market Hypothesis (AMH), Informational Efficiency and Random Walk theory.
Darko B. Vuković, Sonja D. Radenković, Ivana Simeunović, Vyacheslav Zinovev, Milan Radovanović   +4 more
doaj   +1 more source

Forecasting House Prices: The Role of Market Interconnectedness

Journal of Forecasting, EarlyView.
ABSTRACT While the existing research uncovers interconnections between various housing markets, it largely ignores the question of whether such linkages can improve house price predictions. To address this issue, we proceed in two steps. First, we forecast disaggregated house price growth rates from Australia and China to determine whether ...
Zac Chen, George Milunovich, Shuping Shi, Ben Wang   +3 more
wiley   +1 more source