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Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom

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Author Info
Abhyankar, A
Copeland, L S
Wong, W

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Abstract

This paper tests for the presence of nonlinear dependence and chaos in real-time returns on the U.K. FTSE-100 Index using a six-month sample of about 60,000 observations. Since there is clear evidence of nonlinearity, the authors follow other researchers in this field by applying the same tests to the residuals from a GARCH process fitted to the data in order to find out whether or not the nonlinearity can be explained by this type of model. In the event, their results suggest that GARCH can explain some but not all of the observed nonlinear dependence. Copyright 1995 by Royal Economic Society.

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Publisher Info
Article provided by Royal Economic Society in its journal The Economic Journal.

Volume (Year): 105 (1995)
Issue (Month): 431 (July)
Pages: 864-80
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Handle: RePEc:ecj:econjl:v:105:y:1995:i:431:p:864-80

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  9. David G. McMillan & Alan E. H. Speight, 2004. "Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility," Applied Financial Economics, Taylor and Francis Journals, vol. 14(4), pages 253-263, January. [Downloadable!] (restricted)
  10. P. Solibakke, 2005. "Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market," European Journal of Finance, Taylor and Francis Journals, vol. 11(2), pages 111-136, April. [Downloadable!] (restricted)
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  14. Shiki Levy, 1998. "Wealthy People and Fat Tails: An Explanation for the Lévy Distribution of Stock Returns," University of California at Los Angeles, Anderson Graduate School of Management 1118, Anderson Graduate School of Management, UCLA. [Downloadable!]
  15. 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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