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Evidence of Nonlinearity in Daily Stock Returns

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Author Info
Hinich, Melvin J
Patterson, Douglas M

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Abstract

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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 3 (1985)
Issue (Month): 1 (January)
Pages: 69-77
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Handle: RePEc:bes:jnlbes:v:3:y:1985:i:1:p:69-77

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  1. Goldberg, Michael & Schulmeister, Stephen, 1988. "Technical Analysis And Stock Market Efficiency," Working Papers 88-21, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  2. Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  3. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile. [Downloadable!]
  4. Diego Valderrama, 2002. "Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model," Working Papers in Applied Economic Theory 2002-13, Federal Reserve Bank of San Francisco. [Downloadable!]
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  5. Daniela Hristova, 2004. "Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices," Computing in Economics and Finance 2004 47, Society for Computational Economics. [Downloadable!]
  6. Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May. [Downloadable!]
  7. Kian-Ping Lim & Melvin J. Hinich, 2005. "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, Economics Bulletin, vol. 7(1), pages 1-6. [Downloadable!]
  8. Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003. "Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets," Finance 0308001, EconWPA. [Downloadable!]
  9. Nathan S. Balke & Thomas B. Fomby, 1991. "Large shocks, small shocks, and economic fluctuations: outliers in macroeconomic times series," Research Paper 9101, Federal Reserve Bank of Dallas. [Downloadable!]
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  10. Ramsey, James B., 1988. "Economic And Financial Data As Nonlinear Processes," Working Papers 88-30, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  11. Diego Valderrama, 2003. "Statistical Nonlinearities in the Business Cycle," Computing in Economics and Finance 2003 219, Society for Computational Economics. [Downloadable!]
  12. Ramsey, James B. & Rothman, Philip, 1988. "Characterization Of The Time Irreversibility Of Economic Time Series: Estimators And Test Statistics," Working Papers 88-39, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  13. Kian-Ping Lim & Venus Khim-Sen Liew & Hock-Tsen Wong, 2003. "Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange," Finance 0312012, EconWPA. [Downloadable!]
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