{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,20]],"date-time":"2025-10-20T10:25:19Z","timestamp":1760955919369},"reference-count":0,"publisher":"Walter de Gruyter GmbH","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2019,2,25]]},"abstract":"<jats:title>Abstract<\/jats:title>\n<jats:p>The adaptive market hypothesis (AMH) supplies a convincing motivation for why market efficiency should not be regarded as a stable property in time. This paper explores a Bayesian methodology for estimating weak-form market efficiency under the AMH using a test of evolving efficiency (TEE). More precisely, a generalized TEE (GTEE) approach is proposed in which the conditional first moment of a time series is assumed to be a nonlinear function of its conditional second moment, i.e., a nonlinear feedback term is present in the conditional mean equation. We then discuss a maximum likelihood estimation procedure for the resulting nonlinear model using the state-space approach and extended Kalman filtering. This methodology is used to estimate time-varying, weak-form market efficiency in four, specifically chosen, markets over a time-period that includes the global financial crisis of 2007\/2008.<\/jats:p>","DOI":"10.1515\/rnam-2019-0003","type":"journal-article","created":{"date-parts":[[2019,2,6]],"date-time":"2019-02-06T09:02:22Z","timestamp":1549443742000},"page":"31-42","source":"Crossref","is-referenced-by-count":5,"title":["A nonlinear Bayesian filtering approach to estimating adaptive market effciency"],"prefix":"10.1515","volume":"34","author":[{"given":"Gennady Yu.","family":"Kulikov","sequence":"first","affiliation":[]},{"given":"David R.","family":"Taylor","sequence":"additional","affiliation":[]},{"given":"Maria V.","family":"Kulikova","sequence":"additional","affiliation":[]}],"member":"374","container-title":["Russian Journal of Numerical Analysis and Mathematical Modelling"],"original-title":[],"link":[{"URL":"http:\/\/www.degruyter.com\/view\/j\/rnam.2019.34.issue-1\/rnam-2019-0003\/rnam-2019-0003.xml","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/rnam-2019-0003\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,4,22]],"date-time":"2021-04-22T04:18:46Z","timestamp":1619065126000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/rnam-2019-0003\/html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2019,2,25]]},"references-count":0,"journal-issue":{"issue":"1"},"URL":"https:\/\/doi.org\/10.1515\/rnam-2019-0003","relation":{},"ISSN":["0927-6467","1569-3988"],"issn-type":[{"value":"0927-6467","type":"print"},{"value":"1569-3988","type":"electronic"}],"subject":[],"published":{"date-parts":[[2019,2,25]]}}}