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Testing for nonlinear dependence in daily stock indices

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Author Info
Willey, Thomas
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File URL: http://www.sciencedirect.com/science/article/B6V7T-45JK6CP-7/2/a66d2ddde8726421d9ac9d9985f6e170
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Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 44 (1992)
Issue (Month): 1 (February)
Pages: 63-76
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Handle: RePEc:eee:jebusi:v:44:y:1992:i:1:p:63-76

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  1. Graham Newell & Maurice Peat & Max Stevenson, 1996. "Testing for Evidence of Nonlinear Structure in Australian Real Estate Market Returns," Working Paper Series 61, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
  2. Jorge Belaire-Franch & Kwaku Opong, 2005. "A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 93-107, January. [Downloadable!] (restricted)
  3. Graham Newell & Maurice Peat & Max Stevenson, 1997. "Testing for Evidence of Nonlinear Structure in Daily and Weekly United Kingdom Stock and Property Market Indicies," Working Paper Series 73, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
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