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FILTER RULE TESTS OF THE ECONOMIC SIGNIFICANCE OF SERIAL DEPENDENCIES IN DAILY STOCK RETURNS

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References

1986Stock return variances1,813 cited
1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
1966Filter Rules and Stock-Market Trading832 cited
1961Price Movements in Speculative Markets : Trends or Random Walks645 cited
1986Beating the Foreign Exchange Market450 cited
1988The Total Cost of Transactions on the NYSE316 cited
1988Some New Filter Rule Tests: Methods and Results240 cited
1987Nonsynchronous Security Trading and Market Index Autocorrelation198 cited

Cited by

1999Filter Tests In Nasdaq Stocks30 cited
2016Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading9 cited

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