Nonlinear dynamics in CEE stock markets indices
AbstractWe investigate the existence of nonlinearities in the dynamics of the returns of stock markets indices from CEE economies. We use several types of nonlinear tests. We discuss the implications of the results with respect to the efficient market hypothesis.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 114 (2012)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/ecolet
Nonlinear models; Threshold autoregression; Smooth transition autoregression; Simulation techniques; Chaos theory;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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