Browsing Finance & Economics by Subject "GARCH-M"
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Time varying market efficiency of the GCC stock markets
( Elsevier B.V. , 2016 , Article)This paper investigates the time-varying levels of weak-form market efficiency for the GCC stock markets over the period spanning from May 2005 to September 2013. We use two empirical approaches: (1) the generalized ... -
Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data
( Elsevier B.V. , 2018 , Article)Bonds have become an important part of investment portfolios for individuals as well as for institutions, particularly after the recent financial crisis. This paper empirically investigates the Adaptive Market Hypothesis ...