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Testing adaptive market efficiency under the assumption of stochastic volatility
This dissertation explores the adaptive market hypothesis (AMH) first proposed by Lo (2004) which incorporates the efficient market hypothesis (EMH) of Malkiel and Fama (1970) and its behavioural exceptions. The AMH differs from the EMH, in that it assumes that the efficiency level of a market can f...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2018
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