Measuring the degree of time varying market inefficiency

Economics Letters

Volumn 103, Issue 1, 2009, Pages 62-64

  Ito, Mikio ^a   Sugiyama, Shunsuke ^a  

^a KEIO UNIVERSITY   (Japan)

Author keywords

Degree of market inefficiency; Efficient market hypothesis; Kalman smoothing; State space model

Indexed keywords

EID: 61549138417     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2009.01.028     Document Type: Article

References (9)

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