The DOI matches its Crossref record; 36 of the 36 references it cites were found in a registry or an index.
Efficient market hypothesis and forecasting
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“Indeed, a technical trading rule may predict cryptocurrency movements in the sense of generating significant returns but still not be profitable once the excess returns are adjusted for transaction costs (Timmermann and Granger 2004).”
From Technical trading and cryptocurrencies (2021) · cites this paper as Timmermann and Granger 2004
Citations
Cites
EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
Malkiel, B. G., & Fama, E. F. (1970) · The Journal of Finance · doi:10.1111/j.1540-6261.1970.tb00518.x · Cited by 24,478
Efficient capital markets: A review of theory and empirical work
Fama, E. F. (1970) · The Journal of Finance · doi:10.2307/2325486 · Cited by 13,635
Diebold, F. X., & Mariano, R. S. (1994) · National Bureau of Economic Research · doi:10.3386/t0169 · Cited by 5,498
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Martingales and arbitrage in multiperiod securities markets
Harrison, J. M., & Kreps, D. M. (1979) · Journal of Economic Theory · doi:10.1016/0022-0531(79)90043-7 · Cited by 3,596
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Engle, R. F., Lilien, D. M., & Robins, R. P. (1987) · Econometrica · doi:10.2307/1913242 · Cited by 2,469
Diebold, F. X., & Mariano, R. S. (1995) · Journal of Business and Economic Statistics · doi:10.2307/1392185 · Cited by 2,340
Simple technical trading rules and the stochastic properties of stock returns
BROCK, W., LAKONISHOK, J., & LeBARON, B. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04681.x · Cited by 2,301
Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
Hansen, L. P., & Singleton, K. J. (1983) · Journal of Political Economy · doi:10.1086/261141 · Cited by 1,594
Some anomalous evidence regarding market efficiency
Jensen, M. C. (1978) · Journal of Financial Economics · doi:10.1016/0304-405x(78)90025-9 · Cited by 1,447
Research works printed but not linked: 2
- Engle, 1993, Arbitrage valuation of variance forecasts using simulated options, Advances in Futures and Options Research, 6, 393
- Granger, C. W., & Jeon, Y. (2003) Thick Modelling, Journal of Economic Modeling, in press. UCSD, Mimeo.
Cited by
Sorted by citations
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
Rapach, D. E., Strauss, J., & Zhou, G. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp063 · Cited by 1,621
A novel hybridization of artificial neural networks and ARIMA models for time series forecasting
Khashei, M., & Bijari, M. (2010) · Applied Soft Computing · doi:10.1016/j.asoc.2010.10.015 · Cited by 877
An artificial neural network (p,d,q) model for timeseries forecasting
Khashei, M., & Bijari, M. (2009) · Expert Systems with Applications · doi:10.1016/j.eswa.2009.05.044 · Cited by 787
Rapach, D. E., & Zhou, G. (2013) · Handbook of economic forecasting · doi:10.1016/b978-0-444-53683-9.00006-2 · Cited by 626
WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS?
Park, C., & Irwin, S. H. (2007) · Journal of Economic Surveys · doi:10.1111/j.1467-6419.2007.00519.x · Cited by 636
Metadata
- Authors
- Timmermann, A., & Granger, C. W. J.
- Affiliations
- University of California San Diego (US)
- Corresponding author
- Timmermann, Allan
- ORCID
- Timmermann, Allan
- Venue
- International Journal of Forecasting
- Publisher
- Elsevier BV
- Published
- 2004-01
- Volume
- 20
- Issue
- 1
- Pages
- 15-27
- ISSN
- 0169-2070 (ISSN-L)
- OpenAlex
- W2121224351
- Cited by
- 517
- References
- 35
- Citations by year
- 2026: 19 · 2025: 27 · 2024: 29 · 2023: 30 · 2022: 24 · 2021: 23 · 2020: 31 · 2019: 27 · 2018: 32 · 2017: 28 · 2016: 22 · 2015: 35 · 2014: 37 · 2013: 32 · 2012: 33
- FWCI
- 12.65
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- International Journal of Forecasting (publishedVersion)
- OpenGrey (Institut de l'Information Scientifique et Technique) (submittedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Decision Sciences › Management Science and Operations Research › Stock Market Forecasting Methods
- Social Sciences › Decision Sciences › Management Science and Operations Research › Forecasting Techniques and Applications
- Keywords
- efficient market hypothesis, market efficiency testing, trade opportunities, non-stationarity, financial returns
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