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Mikio Ito

Personal Details

First Name:Mikio
Middle Name:
Last Name:Ito
Suffix:
RePEc Short-ID:pit28
[This author has chosen not to make the email address public]

Affiliation

Faculty of Economics
Keio University

Tokyo, Japan
http://www.econ.keio.ac.jp/
RePEc:edi:fekeijp (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Mikio Ito, 2022. "Detecting Structural Breaks in Foreign Exchange Markets by using the group LASSO technique," Papers 2202.02988, arXiv.org.
  2. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2017. "Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939," Papers 1704.00985, arXiv.org, revised Jan 2018.
  3. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2017. "An Alternative Estimation Method of a Time-Varying Parameter Model," Papers 1707.06837, arXiv.org, revised Dec 2017.
  4. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2016. "Market Integration in the Prewar Japanese Rice Markets," Papers 1604.00148, arXiv.org, revised Sep 2017.
  5. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016. "Time-Varying Comovement of Foreign Exchange Markets," Papers 1610.04334, arXiv.org.
  6. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2014. "Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets," Papers 1404.1164, arXiv.org, revised Feb 2017.
  7. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2014. "The Futures Premium and Rice Market Efficiency in Prewar Japan," Papers 1404.5381, arXiv.org, revised Sep 2017.
  8. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach," Papers 1203.5176, arXiv.org, revised May 2014.
  9. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach," Papers 1202.0100, arXiv.org, revised Aug 2015.
  10. Mikio Ito & Akihiko Noda, 2010. "The GEL Estimates Resolve the Risk-free Rate Puzzle in Japan," Keio/Kyoto Joint Global COE Discussion Paper Series 2010-007, Keio/Kyoto Joint Global COE Program.

Articles

  1. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2022. "An Alternative Estimation Method for Time-Varying Parameter Models," Econometrics, MDPI, vol. 10(2), pages 1-27, April.
  2. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2021. "Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach," Mathematics, MDPI, vol. 9(8), pages 1-13, April.
  3. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2018. "The futures premium and rice market efficiency in prewar Japan," Economic History Review, Economic History Society, vol. 71(3), pages 909-937, August.
  4. Ito, Mikio & Maeda, Kiyotaka & Noda, Akihiko, 2016. "Market efficiency and government interventions in prewar Japanese rice futures markets," Financial History Review, Cambridge University Press, vol. 23(3), pages 325-346, December.
  5. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016. "The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 621-635, February.
  6. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2014. "International stock market efficiency: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 46(23), pages 2744-2754, August.
  7. Ito, Mikio & Sugiyama, Shunsuke, 2009. "Measuring the degree of time varying market inefficiency," Economics Letters, Elsevier, vol. 103(1), pages 62-64, April.
    RePEc:taf:apfiec:v:22:y:2012:i:5:p:365-374 is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Mikio Ito, 2022. "Detecting Structural Breaks in Foreign Exchange Markets by using the group LASSO technique," Papers 2202.02988, arXiv.org.

    Cited by:

    1. Yoga Sasmita & Heri Kuswanto & Dedy Dwi Prastyo, 2024. "State-Dependent Model Based on Singular Spectrum Analysis Vector for Modeling Structural Breaks: Forecasting Indonesian Export," Forecasting, MDPI, vol. 6(1), pages 1-18, February.

  2. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2017. "An Alternative Estimation Method of a Time-Varying Parameter Model," Papers 1707.06837, arXiv.org, revised Dec 2017.

    Cited by:

    1. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2021. "Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach," Mathematics, MDPI, vol. 9(8), pages 1-13, April.
    2. Philippe Goulet Coulombe, 2020. "Time-Varying Parameters as Ridge Regressions," Papers 2009.00401, arXiv.org, revised Apr 2023.

  3. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2016. "Market Integration in the Prewar Japanese Rice Markets," Papers 1604.00148, arXiv.org, revised Sep 2017.

    Cited by:

    1. Schneider, Eric B. & Ogasawara, Kota & Cole, Tim, 2021. "Health shocks, recovery and the first thousand days: the effect of the Second World War on height growth in Japanese children," LSE Research Online Documents on Economics 111948, London School of Economics and Political Science, LSE Library.

  4. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016. "Time-Varying Comovement of Foreign Exchange Markets," Papers 1610.04334, arXiv.org.

    Cited by:

    1. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2022. "An Alternative Estimation Method for Time-Varying Parameter Models," Econometrics, MDPI, vol. 10(2), pages 1-27, April.

  5. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2014. "Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets," Papers 1404.1164, arXiv.org, revised Feb 2017.

    Cited by:

    1. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2014. "The Futures Premium and Rice Market Efficiency in Prewar Japan," Papers 1404.5381, arXiv.org, revised Sep 2017.
    2. Kenichi Hirayama & Akihiko Noda, 2020. "Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model," Papers 2008.00860, arXiv.org, revised Jun 2021.
    3. Kenichi Hirayama & Akihiko Noda, 2019. "Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market, 1924-1943," Papers 1911.04059, arXiv.org, revised Dec 2022.

  6. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2014. "The Futures Premium and Rice Market Efficiency in Prewar Japan," Papers 1404.5381, arXiv.org, revised Sep 2017.

    Cited by:

    1. Yutaka Arimoto & Yoshihiro Sakane, 2021. "Agricultural development in industrialising Japan, 1880–1940," Australian Economic History Review, Economic History Society of Australia and New Zealand, vol. 61(3), pages 290-317, November.
    2. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2021. "A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance," Mathematics, MDPI, vol. 9(9), pages 1-28, May.
    3. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2017. "Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939," Papers 1704.00985, arXiv.org, revised Jan 2018.
    4. Akihiko Noda, 2022. "Estimating the Time-Varying Structures of the Fama-French Multi-Factor Models," Papers 2208.01270, arXiv.org.
    5. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2016. "Market Integration in the Prewar Japanese Rice Markets," Papers 1604.00148, arXiv.org, revised Sep 2017.

  7. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach," Papers 1203.5176, arXiv.org, revised May 2014.

    Cited by:

    1. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2020. "Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 87-114, June.
    2. Vieito, João Paulo & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Could the global financial crisis improve the performance of the G7 stocks markets?," MPRA Paper 66521, University Library of Munich, Germany.
    3. Shah, Anand & Bahri, Anu, 2022. "Metanomics: Adaptive market and volatility behaviour in Metaverse," MPRA Paper 114442, University Library of Munich, Germany.
    4. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2014. "The Futures Premium and Rice Market Efficiency in Prewar Japan," Papers 1404.5381, arXiv.org, revised Sep 2017.
    5. Maria Kulikova & Gennady Kulikov, 2023. "Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach," Papers 2310.04125, arXiv.org.
    6. Achal Awasthi & Oleg Malafeyev, 2015. "Is the Indian Stock Market efficient - A comprehensive study of Bombay Stock Exchange Indices," Papers 1510.03704, arXiv.org.
    7. Tran, Vu Le & Leirvik, Thomas, 2020. "Efficiency in the markets of crypto-currencies," Finance Research Letters, Elsevier, vol. 35(C).
    8. Ayoub Ammy-Driss & Matthieu Garcin, 2021. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Working Papers hal-02903655, HAL.
    9. Okoroafor, Ugochi Chibuzor & Leirvik, Thomas, 2022. "Time varying market efficiency in the Brent and WTI crude market," Finance Research Letters, Elsevier, vol. 45(C).
    10. Rahman, Md. Lutfur & Lee, Doowon & Shamsuddin, Abul, 2017. "Time-varying return predictability in South Asian equity markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 179-200.
    11. Pınar Evrim Mandacı & F. Dilvin Taskın & Zeliha Can Ergun, 2019. "Adaptive Market Hypothesis," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 84-101.
    12. Noda, Akihiko, 2016. "A test of the adaptive market hypothesis using a time-varying AR model in Japan," Finance Research Letters, Elsevier, vol. 17(C), pages 66-71.
    13. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2022. "An Alternative Estimation Method for Time-Varying Parameter Models," Econometrics, MDPI, vol. 10(2), pages 1-27, April.
    14. Ayoub Ammy-Driss & Matthieu Garcin, 2020. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Papers 2007.10727, arXiv.org, revised Nov 2021.
    15. Akihiko Noda, 2019. "On the Evolution of Cryptocurrency Market Efficiency," Papers 1904.09403, arXiv.org, revised Jul 2020.
    16. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2021. "Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach," Mathematics, MDPI, vol. 9(8), pages 1-13, April.
    17. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2017. "An Alternative Estimation Method of a Time-Varying Parameter Model," Papers 1707.06837, arXiv.org, revised Dec 2017.
    18. Jiang, Jinjin & Li, Haiqi, 2020. "A new measure for market efficiency and its application," Finance Research Letters, Elsevier, vol. 34(C).
    19. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
    20. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016. "Time-Varying Comovement of Foreign Exchange Markets," Papers 1610.04334, arXiv.org.
    21. Dzung Phan Tran Trung & Hung Pham Quang, 2019. "Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market," JRFM, MDPI, vol. 12(2), pages 1-16, May.
    22. Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
    23. Tran, Vu Le & Leirvik, Thomas, 2019. "A simple but powerful measure of market efficiency," Finance Research Letters, Elsevier, vol. 29(C), pages 141-151.
    24. Kenichi Hirayama & Akihiko Noda, 2019. "Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market, 1924-1943," Papers 1911.04059, arXiv.org, revised Dec 2022.
    25. Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis Alberiko & Madigu, Godfrey & Romero-Rojo, Fatima, 2020. "Volatility persistence in cryptocurrency markets under structural breaks," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 680-691.
    26. Philippe Goulet Coulombe, 2020. "Time-Varying Parameters as Ridge Regressions," Papers 2009.00401, arXiv.org, revised Apr 2023.
    27. Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    28. Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.

  8. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach," Papers 1202.0100, arXiv.org, revised Aug 2015.

    Cited by:

    1. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
    2. Shah, Anand & Bahri, Anu, 2022. "Metanomics: Adaptive market and volatility behaviour in Metaverse," MPRA Paper 114442, University Library of Munich, Germany.
    3. Richard S.Grossman, 2017. "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," Wesleyan Economics Working Papers 2017-004, Wesleyan University, Department of Economics.
    4. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2014. "The Futures Premium and Rice Market Efficiency in Prewar Japan," Papers 1404.5381, arXiv.org, revised Sep 2017.
    5. Oktay Ozkan, 2020. "Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 34(2), pages 101-113.
    6. Maria Kulikova & Gennady Kulikov, 2023. "Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach," Papers 2310.04125, arXiv.org.
    7. Taylor, Nick, 2014. "The rise and fall of technical trading rule success," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 286-302.
    8. Tran, Vu Le & Leirvik, Thomas, 2020. "Efficiency in the markets of crypto-currencies," Finance Research Letters, Elsevier, vol. 35(C).
    9. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    10. Rahman, Md. Lutfur & Lee, Doowon & Shamsuddin, Abul, 2017. "Time-varying return predictability in South Asian equity markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 179-200.
    11. Kalugala Vidanalage Aruna Shantha, 2019. "Individual Investors’ Learning Behavior and Its Impact on Their Herd Bias: An Integrated Analysis in the Context of Stock Trading," Sustainability, MDPI, vol. 11(5), pages 1-24, March.
    12. Pınar Evrim Mandacı & F. Dilvin Taskın & Zeliha Can Ergun, 2019. "Adaptive Market Hypothesis," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 84-101.
    13. Noda, Akihiko, 2016. "A test of the adaptive market hypothesis using a time-varying AR model in Japan," Finance Research Letters, Elsevier, vol. 17(C), pages 66-71.
    14. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2022. "An Alternative Estimation Method for Time-Varying Parameter Models," Econometrics, MDPI, vol. 10(2), pages 1-27, April.
    15. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2017. "Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939," Papers 1704.00985, arXiv.org, revised Jan 2018.
    16. Campbell, Gareth & Grossman, Richard S. & Turner, John D., 2019. "Before the cult of equity: New monthly indices of the British share market, 1829-1929," QUCEH Working Paper Series 2019-01, Queen's University Belfast, Queen's University Centre for Economic History.
    17. Jiang, Jinjin & Li, Haiqi, 2020. "A new measure for market efficiency and its application," Finance Research Letters, Elsevier, vol. 34(C).
    18. Siddique, Maryam, 2023. "Does the Adaptive Market Hypothesis Exist in Equity Market? Evidence from Pakistan Stock Exchange," OSF Preprints 9b5dx, Center for Open Science.
    19. Dzung Phan Tran Trung & Hung Pham Quang, 2019. "Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market," JRFM, MDPI, vol. 12(2), pages 1-16, May.
    20. Ito, Mikio & Maeda, Kiyotaka & Noda, Akihiko, 2016. "Market efficiency and government interventions in prewar Japanese rice futures markets," Financial History Review, Cambridge University Press, vol. 23(3), pages 325-346, December.
    21. Ali Fayyaz Munir & Mohd Edil Abd. Sukor & Shahrin Saaid Shaharuddin, 2022. "Adaptive Market Hypothesis and Time-varying Contrarian Effect: Evidence From Emerging Stock Markets of South Asia," SAGE Open, , vol. 12(1), pages 21582440211, January.
    22. Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
    23. Tran, Vu Le & Leirvik, Thomas, 2019. "A simple but powerful measure of market efficiency," Finance Research Letters, Elsevier, vol. 29(C), pages 141-151.
    24. Urquhart, Andrew & McGroarty, Frank, 2016. "Are stock markets really efficient? Evidence of the adaptive market hypothesis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 39-49.
    25. Koichiro Moriya & Akihiko Noda, 2023. "On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices," Papers 2305.05998, arXiv.org, revised Mar 2024.
    26. Nevi Danila, 2022. "Random Walk of Socially Responsible Investment in Emerging Market," Sustainability, MDPI, vol. 14(19), pages 1-13, September.
    27. Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
    28. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.

Articles

  1. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2021. "Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach," Mathematics, MDPI, vol. 9(8), pages 1-13, April.

    Cited by:

    1. Mikio Ito, 2022. "Detecting Structural Breaks in Foreign Exchange Markets by using the group LASSO technique," Papers 2202.02988, arXiv.org.

  2. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2018. "The futures premium and rice market efficiency in prewar Japan," Economic History Review, Economic History Society, vol. 71(3), pages 909-937, August.
    See citations under working paper version above.
  3. Ito, Mikio & Maeda, Kiyotaka & Noda, Akihiko, 2016. "Market efficiency and government interventions in prewar Japanese rice futures markets," Financial History Review, Cambridge University Press, vol. 23(3), pages 325-346, December.
    See citations under working paper version above.
  4. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016. "The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 621-635, February.
    See citations under working paper version above.
  5. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2014. "International stock market efficiency: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 46(23), pages 2744-2754, August.
    See citations under working paper version above.
  6. Ito, Mikio & Sugiyama, Shunsuke, 2009. "Measuring the degree of time varying market inefficiency," Economics Letters, Elsevier, vol. 103(1), pages 62-64, April.

    Cited by:

    1. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
    2. Wang, Zi-Mei & Chiao, Chaoshin & Chang, Ya-Ting, 2012. "Technical analyses and order submission behaviors: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 109-128.
    3. Graham Smith & Aneta Dyakova, 2014. "African Stock Markets: Efficiency and Relative Predictability," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 258-275, June.
    4. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
    5. Jiang, Jiaqi & Gu, Rongbao, 2016. "Using Rényi parameter to improve the predictive power of singular value decomposition entropy on stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 254-264.
    6. Shah, Anand & Bahri, Anu, 2022. "Metanomics: Adaptive market and volatility behaviour in Metaverse," MPRA Paper 114442, University Library of Munich, Germany.
    7. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    8. Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping, 2011. "Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 868-879.
    9. Mobarek, Asma & Fiorante, Angelo, 2014. "The prospects of BRIC countries: Testing weak-form market efficiency," Research in International Business and Finance, Elsevier, vol. 30(C), pages 217-232.
    10. Sangram Keshari Jena & Aviral Kumar Tiwari & Buhari Doğan & Shawkat Hammoudeh, 2022. "Are the top six cryptocurrencies efficient? Evidence from time‐varying long memory," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3730-3740, July.
    11. Urquhart, Andrew & Gebka, Bartosz & Hudson, Robert, 2015. "How exactly do markets adapt? Evidence from the moving average rule in three developed markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 127-147.
    12. Huai-Long Shi & Zhi-Qiang Jiang & Wei-Xing Zhou, 2016. "Time-varying return predictability in the Chinese stock market," Papers 1611.04090, arXiv.org.
    13. Biswabhusan Bhuyan & Subhamitra Patra & Ranjan Kumar Bhuian, 2020. "Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 605-619, December.
    14. Maria Kulikova & Gennady Kulikov, 2023. "Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach," Papers 2310.04125, arXiv.org.
    15. Bariviera, Aurelio F. & Fabregat-Aibar, Laura & Sorrosal-Forradellas, Maria-Teresa, 2023. "Disentangling the impact of economic and health crises on financial markets," Research in International Business and Finance, Elsevier, vol. 65(C).
    16. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    17. Hiremath, Gourishankar S & Kumari, Jyoti, 2014. "Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India," MPRA Paper 58378, University Library of Munich, Germany.
    18. Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
    19. Shailesh Rastogi & Bhakti Agarwal, 2023. "Transparency and disclosure (TD) and valuation of Indian banks," Bank i Kredyt, Narodowy Bank Polski, vol. 54(5), pages 519-540.
    20. Pınar Evrim Mandacı & F. Dilvin Taskın & Zeliha Can Ergun, 2019. "Adaptive Market Hypothesis," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 84-101.
    21. Noda, Akihiko, 2016. "A test of the adaptive market hypothesis using a time-varying AR model in Japan," Finance Research Letters, Elsevier, vol. 17(C), pages 66-71.
    22. Ben Moews & Gbenga Ibikunle, 2020. "Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning," Papers 2002.10385, arXiv.org.
    23. Kuang-Ting Chen, 2015. "Modeling Market Inefficiencies within a Single Instrument," Papers 1511.02046, arXiv.org.
    24. Bariviera, A.F. & Guercio, M. Belén & Martinez, Lisana B., 2012. "A comparative analysis of the informational efficiency of the fixed income market in seven European countries," Economics Letters, Elsevier, vol. 116(3), pages 426-428.
    25. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach," Papers 1202.0100, arXiv.org, revised Aug 2015.
    26. Boya, Christophe M., 2019. "From efficient markets to adaptive markets: Evidence from the French stock exchange," Research in International Business and Finance, Elsevier, vol. 49(C), pages 156-165.
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (4) 2012-02-15 2016-10-23 2017-07-30 2022-03-14
  2. NEP-HIS: Business, Economic and Financial History (4) 2014-04-11 2014-05-09 2016-05-08 2017-04-09
  3. NEP-ECM: Econometrics (2) 2017-07-30 2022-03-14
  4. NEP-CWA: Central and Western Asia (1) 2012-02-15
  5. NEP-GER: German Papers (1) 2014-04-11
  6. NEP-ORE: Operations Research (1) 2022-03-14
  7. NEP-PKE: Post Keynesian Economics (1) 2016-05-08

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