How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast
Abstract This paper derives a new method for comparing the weak-form efficiency of markets. The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process. F...
Shranjeno v:
| Principais autores: | , |
|---|---|
| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
SpringerOpen
2020-10-01
|
| Serija: | Financial Innovation |
| Teme: | |
| Online dostop: | http://link.springer.com/article/10.1186/s40854-020-00200-6 |
| Oznake: |
Brez oznak, prvi označite!
|