Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter
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References listed on IDEAS
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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- Walid Abdmoulah, "undated". "Testing the Evolving Efficiency of 11 Arab Stock Markets," API-Working Paper Series 0907, Arab Planning Institute - Kuwait, Information Center.
- Vít Pošta, 2009. "The Role of fundamentals factors of empirical analysis of the Prague stock exchange," Ekonomika a Management, University of Economics, Prague, vol. 2009(3).
More about this item
KeywordsGARCH; Kalman filter; martingale; weak-efficiency;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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