Testing for Non-Linearity in Intra-Day Financial Series : The Cases of Two French Stocks
AbstractOur study is three-fold: we, first review the non-linear tests that we suggest to use to detect non-linearities. We, next, investigate the empirical power of the tests, using simulations under the null hypothesis that we have a linear AR model. We, then, turn to empirical data: the returns of two french stocks.
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Bibliographic InfoPaper provided by Caisse des Depots et Consignations - Cahiers de recherche in its series Papers with number 1999-06/fi.
Date of creation: 1999
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Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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