This paper surveys various statistical methods that have been proposed for the examination of the efficiency of financial markets and proposes a novel procedure for testing the predictability of a time series. For illustration, this procedure is applied to Austrian stock return series.
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:6613 |
| Date | January 1997 |
| Creators | Reschenhofer, Erhard, Hauser, Michael A. |
| Publisher | Austrian Statistical Society |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Article, PeerReviewed |
| Format | application/pdf |
| Rights | Creative Commons: Attribution 4.0 International (CC BY 4.0) |
| Relation | http://dx.doi.org/10.17713/ajs.v26i1.541, http://www.osg.or.at, http://epub.wu.ac.at/6613/ |
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