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Testing for Non-Linearity in Intra-Day Financial Series : The Cases of Two French Stocks

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Author Info

  • Chauveau, T.
  • Damon, J.
  • Guegan, D.

Abstract

Our 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 Info

Paper provided by Caisse des Depots et Consignations - Cahiers de recherche in its series Papers with number 1999-06/fi.

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Date of creation: 1999
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Handle: RePEc:fth:cadeco:1999-06/fi

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Postal: Caisse des depots et consignations, Services des etudes economiques et financieres, 195 Boulevard Saint Germain- 75007 Paris, France.

Related research

Keywords: FINANCIAL ASSETS ; TESTS Services des etudes economiques et financieres; 195 Boulevard Saint-Germain-75005 Paris; France. 48p.;

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