A version of the paper was presented at a symposium on Financial Econometrics of Derivative Securities and Markets hosted by Deakin University. The authors would like to thank symposium participants, and in particular Robert Webb (the editor) for many valuable comments and suggestions.
Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets
Version of Record online: 10 JUN 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
Special Issue: Special Issue from the 1st Symposium on the Financial Econometrics of Derivative Securities and Markets
Volume 33, Issue 11, pages 1024–1045, November 2013
How to Cite
Westerlund, J. and Narayan, P. (2013), Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets. J. Fut. Mark., 33: 1024–1045. doi: 10.1002/fut.21624
- Issue online: 16 AUG 2013
- Version of Record online: 10 JUN 2013
- Manuscript Accepted: 1 APR 2013
- Manuscript Received: 1 MAR 2013
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