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Testing for nonlinear dependence in daily stock indices

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  • Willey, Thomas
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    Bibliographic Info

    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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    Web page: http://www.elsevier.com/locate/jeconbus

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    Cited by:
    1. Shively, Philip A., 2003. "The nonlinear dynamics of stock prices," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 43(3), pages 505-517.
    2. Shu-Heng Chen & Chia-Hsuan Yeh, . "Toward a Computable Approach to the Efficient Market Hypothesis: An Application of Genetic Programming," Working Papers _011, University of California at Los Angeles, Center for Computable Economics.
    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, Finance Discipline Group, UTS Business School, University of Technology, Sydney 73, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    4. Kohers, Theodor & Pandey, Vivek & Kohers, Gerald, 1997. "Using nonlinear dynamics to test for market efficiency among the major U.S. stock exchanges," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 37(2), pages 523-545.
    5. Graham Newell & Maurice Peat & Max Stevenson, 1996. "Testing for Evidence of Nonlinear Structure in Australian Real Estate Market Returns," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 61, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    6. McKenzie, Michael D., 2001. "Chaotic behavior in national stock market indices: New evidence from the close returns test," Global Finance Journal, Elsevier, vol. 12(1), pages 35-53.
    7. 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.
    8. Madhavan, Vinodh, 2013. "Nonlinearity in investment grade Credit Default Swap (CDS) Indices of US and Europe: Evidence from BDS and close-returns tests," Global Finance Journal, Elsevier, vol. 24(3), pages 266-279.
    9. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(1), pages 120-130, January.
    10. Jorge Belaire-Franch & Kwaku Opong, 2013. "A Time Series Analysis of U.K. Construction and Real Estate Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 516-542, April.

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