Ranking market efficiency for stock markets: A nonlinear perspective

By K. Lim. 2007

134 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “…the rolling VR tests (Tabak, 2003; Kim and Shamsuddin, 2008; Hung, 2009), rolling ADF unit root test (Phengpis, 2006), rolling bicorrelation test (Lim, 2007; Todea and Zoicas-Ienciu, 2008), rolling parameters of ARCH models (Degiannakis et al., 2008; Alagidede and Panagiotidis, 2009a) and…”
Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012, background): “A large number of studies have conducted empirical analyses of the long-range auto-correlations in several financial markets, especially the stock markets [1–5] and foreign exchange markets [6–12].”
Commodity futures and market efficiency (2013, background): “Lim (2007) studies non-linear dependencies, their evolution in time and connection to market efficiency for a set of stock markets.”