Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market
The purpose of this study is to examine the Efficiency Market Hypothesis (EMH) from the perspective of the Algerian exchange rate market. We apply different tests of dependence, long memory, volatility clustering and unit root tests over the three main Algerian exchange rate returns series vis–à-vi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2022-12-01
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| Series: | Management Dynamics in the Knowledge Economy |
| Online Access: | https://www.managementdynamics.ro/index.php/journal/article/view/487 |