Λεπτομέρειες βιβλιογραφικής εγγραφής
| Τίτλος: |
On the testing of Adaptive Markets Hypothesis using rolling windows. |
| Συγγραφείς: |
Hřebačka, Viktor1 (AUTHOR) 434045@mail.muni.cz |
| Πηγή: |
Applied Economics Letters. Mar2026, Vol. 33 Issue 5, p742-746. 5p. |
| Θεματικοί όροι: |
*Statistical hypothesis testing, *Monte Carlo method, *Time series analysis, *Efficient market theory, *Financial markets, Multiple comparisons (Statistics), False positive error |
| Περίληψη: |
In this paper, we investigate the issue of multiple testing problem in the testing of Adaptive Markets Hypothesis via rolling window analysis. Using Monte Carlo simulation, we show that a significant number of previous findings could be attributed to Type I error and that the evidence in favour of the hypothesis is weaker than it seems. Furthermore, we also recommend potential remedies for the issue, such as low rolling window length to time series length ratio. [ABSTRACT FROM AUTHOR] |
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| Βάση Δεδομένων: |
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