@article{0ed730b8cc9b479986f72718c88fbf2e,
title = "Measuring the degree of time varying market inefficiency",
abstract = "We estimate a time varying autocorrelation of stock returns as a degree of market inefficiency; the relative inefficiency of the U.S. stock market varies from 1955 to 2006.",
keywords = "Degree of market inefficiency, Efficient market hypothesis, Kalman smoothing, State space model",
author = "Mikio Ito and Shunsuke Sugiyama",
year = "2009",
month = apr,
doi = "10.1016/j.econlet.2009.01.028",
language = "English",
volume = "103",
pages = "62--64",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "1",
}