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Juan Benjamín Duarte Duarte,Katherine Julieth Sierra Suárez,Víctor Alfonso Rueda Ortiz
Pág. 341 - 357
This article seeks to contrast the weak form efficiency of the Brazilian, US, and Mexican stock indexes, based on the assumption that an efficient market is not predictable. With thi...
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Regis Augusto Ely
Pág. 13 - 39
This paper examines the relation between serial correlation and volatility of the Ibovespa index returns and extends the empirical evidence of the LeBaron effect for higher orders of serial correlation. We employ an exponential general autoregressive con...
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Regis Augusto Ely
Pág. 571 - 584
This paper searches for evidence of predictability in the Brazilian stock market using portfolios grouped by sector and firm size with data from 1999 to 2008. I conduct an automatic variance ratio test using wild bootstrap. This methodology eliminates th...
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