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wild bootstrap

1Fama–French portfolios 1Martingale hypothesis 1Monte Carlo experiment 1VIX 1factor premium 1generalized impulse response analysis 1joint 1market efficiency 1panel data 1sign test 1stock market efficiency

Date

22015 12008

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1Fama–French portfolios 1Martingale hypothesis 1Monte Carlo experiment 1VIX 1factor premium 1generalized impulse response analysis 1joint 1market efficiency 1panel data 1sign test 1stock market efficiency

Date

22015 12008

Title
Creator
Date

A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests

- Kim, Jae H., Shamsuddin, Abul

Creator: Kim, Jae H. , Shamsuddin, Abul
Resource Type: journal article
Date: 2015

Market sentiment and the Fama-French factor premia

- Shamsuddin, Abul, Kim, Jae H.

Creator: Shamsuddin, Abul , Kim, Jae H.
Resource Type: journal article
Date: 2015

Are Asian stock markets efficient?: evidence from new multiple variance ratio tests

- Kim, Jae H., Shamsuddin, Abul

Creator: Kim, Jae H. , Shamsuddin, Abul
Resource Type: journal article
Date: 2008

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