Real-Time Market Abuse Detection with a Stochastic Parameter Model
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References listed on IDEAS
- Rebecca Emerson & Stephen Hall & Anna Zalewska-Mitura, 1997.
"Evolving Market Efficiency with an Application to Some Bulgarian Shares,"
Economic Change and Restructuring,
Springer, vol. 30(2), pages 75-90, May.
- Emerson, Rebecca & Hall, Stephen G & Zalewska-Mitura, Anna, 1997. "Evolving Market Efficiency with an Application to Some Bulgarian Shares," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 75-90.
- Rebecca Emerson & Stephen G. Hall & Anna Zalewska-Mitura, "undated". "Evolving Market Efficiency with an Application to Some Bulgarian Shares," Ace Project Memoranda 96/18, Department of Economics, University of Leicester.
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More about this item
KeywordsMarket abuse detection; insider trading; real-time analysis; timevarying parameters; uni- and bivariate GARCH processes;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G19 - Financial Economics - - General Financial Markets - - - Other
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