Testing for Market Efficiency: A Comparison of the Cumulative Average Residual Methodology and Intervention Analysis
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- Kuchler, Fred & Vroomen, Harry, 1987. "Impacts of the PIK Program on the Farm Machinery Market," Journal of Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, vol. 39(3), pages 1-10.
- Fiammetta Menchetti & Fabrizio Cipollini & Fabrizia Mealli, 2021. "Estimating the causal effect of an intervention in a time series setting: the C-ARIMA approach," Papers 2103.06740, arXiv.org, revised Sep 2021.
- Fiammetta Menchetti & Fabrizio Cipollini & Fabrizia Mealli, 2023. "Combining counterfactual outcomes and ARIMA models for policy evaluation," The Econometrics Journal, Royal Economic Society, vol. 26(1), pages 1-24.
- Jeffery A. Born & Seth C. Anderson, 1986. "A Comparison Of Intervention And Residual Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(3), pages 261-270, September.
- Canning, Patrick N. & Vroomen, Harry, 1994. "Welfare Impacts of a Trade Restriction: An Equilibrium Approach and Application in the Potash Industry," Technical Bulletins 156762, United States Department of Agriculture, Economic Research Service.
- Vitaly Guzhva, 2008. "Applying intervention analysis to financial performance data: The case of US airlines and September 11th," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(3), pages 243-259, July.
- Jin-Hong Park, 2012. "Nonparametric approach to intervention time series modeling," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(7), pages 1397-1408, December.
- Thomas T. Cheng, 1986. "Standard setting and security returns: A time series analysis of FAS No. 8 events," Contemporary Accounting Research, John Wiley & Sons, vol. 3(1), pages 226-241, September.
- Boardman, Anthony & Vertinsky, Ilan & Whistler, Diana, 1997. "Using information diffusion models to estimate the impacts of regulatory events on publicly traded firms," Journal of Public Economics, Elsevier, vol. 63(2), pages 283-300, January.
- Kentaka Aruga, 2014.
"An intervention analysis on the Tokyo Grain Exchange non-genetically modified and conventional soybean futures markets,"
Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-11, December.
- Aruga, Kentaka, 2011. "An Intervention Analysis on the Tokyo Grain Exchange Non- Genetically Modified and Conventional Soybean Futures Market," MPRA Paper 36088, University Library of Munich, Germany.
- Michael Cichello & Douglas Lamdin, 2006. "Event Studies and the Analysis of Antitrust," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 13(2), pages 229-245.
- Rex Thompson, 1986. "Comment on “Standard setting and security returns: A time series analysis of FAS No. 8 eventsâ€," Contemporary Accounting Research, John Wiley & Sons, vol. 3(1), pages 242-250, September.
- Lamdin, Douglas J., 2001. "Implementing and interpreting event studies of regulatory changes," Journal of Economics and Business, Elsevier, vol. 53(2-3), pages 171-183.
- Akhigbe, Aigbe & Martin, Anna D. & Whyte, Ann Marie, 2005. "Contagion effects of the world's largest bankruptcy: the case of WorldCom," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 48-64, February.
- Michael J. Gombola & Douglas R. Kahl & Kenneth P. Nunn Jr., 1988. "Valuation Of The Preferred Stock Sinking Fund Feature: A Time-Series Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 33-42, March.
- Lim Kai Jie, Shawn & Chadha, Pavneet & Lau, Joshua & Potdar, Nishad, 2012. "Is the Mongolian Equity Market Efficient? Empirical Evidence from Tests of Weak-Form Efficiency," MPRA Paper 41834, University Library of Munich, Germany.
- Wang, Nanying & Houston, Jack, 2015. "An intervention analysis on the relationship between futures prices of non-GM and GM contract soybeans in China," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196842, Southern Agricultural Economics Association.
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