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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Paper provided by Caisse des Depots et Consignations - Cahiers de recherche in its series Papers with number
1999-06/fi.
Length: Date of creation: 1999 Date of revision: Handle: RePEc:fth:cadeco:1999-06/fi
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