Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation
The present research aims to test the weak-form efficiency of the French ETF market through a LSTAR model with ANSTGARCH errors, by using semiparametric maximum likelihood where the innovation distribution is replaced by a nonparametric estimate based on the kernel density function. In this paper, w...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Alexandru Ioan Cuza University of Iasi
2022-06-01
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| Series: | Eastern Journal of European Studies |
| Subjects: | |
| Online Access: | https://ejes.uaic.ro/articles/EJES2022_1301_CHI.pdf |