Citations for "Evidence of Nonlinearity in Daily Stock Returns"
by Hinich, Melvin J & Patterson, Douglas M
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- Holger Dette & Marc Hallin & Tobias Kley & Stanislav Volgushev, 2011.
"Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis,"
Working Papers ECARES
ECARES 2011-038, ULB -- Universite Libre de Bruxelles.
- Mishra, Ritesh Kumar & Sehgal, Sanjay & Bhanumurthy, N.R., 2011.
"A search for long-range dependence and chaotic structure in Indian stock market,"
Review of Financial Economics,
Elsevier, vol. 20(2), pages 96-104, May.
- Diego Valderrama, 2002.
"Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model,"
Working Paper Series
2002-13, Federal Reserve Bank of San Francisco.
- Pedro J. F. de Lima & Michelle L. Barnes, 2000.
"Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities,"
School of Economics Working Papers
2000-05, University of Adelaide, School of Economics.
- Teles, Paulo & Wei, William W. S., 2000.
"The effects of temporal aggregation on tests of linearity of a time series,"
Computational Statistics & Data Analysis,
Elsevier, vol. 34(1), pages 91-103, July.
- Rashid, Abdul, 2007.
"Stock prices and trading volume: An assessment for linear and nonlinear Granger causality,"
Journal of Asian Economics,
Elsevier, vol. 18(4), pages 595-612, August.
- Rodrigo Aranda & Patricio Jaramillo, 2008.
"Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume,"
Working Papers Central Bank of Chile
463, Central Bank of Chile.
- T Tang, 2009.
"Testing for Non-linearity in the Balancing Item of Balance of Payments Accounts: The Case of 20 Industrial Countries,"
Economic Issues Journal Articles,
Economic Issues, vol. 14(2), pages 107-124, September.
- Hiremath, Gourishankar S & Bandi, Kamaiah, 2010.
"Some Further Evidence on the Behaviour of Stock Returns in India,"
48518, University Library of Munich, Germany.
- Barry E. Jones & Travis D. Nesmith, 2006.
"Linear cointegration of nonlinear time series with an application to interest rate dynamics,"
Finance and Economics Discussion Series
2007-03, Board of Governors of the Federal Reserve System (U.S.).
- Nathan S. Balke & Thomas B. Fomby, 1991.
"Large shocks, small shocks, and economic fluctuations: outliers in macroeconomic times series,"
9101, Federal Reserve Bank of Dallas.
- Balke, Nathan S & Fomby, Thomas B, 1994.
"Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 9(2), pages 181-200, April-Jun.
- Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008.
"Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 18(5), pages 527-544, December.
- Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003.
"Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets,"
- Ammermann, Peter A. & Patterson, Douglas M., 2003.
"The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan Stock Exchange,"
Pacific-Basin Finance Journal,
Elsevier, vol. 11(2), pages 175-195, April.
- An-Sing Chen & James Wuh Lin, 2004.
"Cointegration and detectable linear and nonlinear causality: analysis using the London Metal Exchange lead contract,"
Taylor & Francis Journals, vol. 36(11), pages 1157-1167.
- Gourishankar S Hiremath & Bandi Kamaiah, 2010.
"Nonlinear Dependence in Stock Returns: Evidences from India,"
Journal of Quantitative Economics,
The Indian Econometric Society, vol. 8(1), pages 69-85, January.
- Kyrtsou, Catherine & Serletis, Apostolos, 2006.
"Univariate tests for nonlinear structure,"
Journal of Macroeconomics,
Elsevier, vol. 28(1), pages 154-168, March.
- Perez-Rodriguez, Jorge V. & Torra, Salvador & Andrada-Felix, Julian, 2005.
"STAR and ANN models: forecasting performance on the Spanish "Ibex-35" stock index,"
Journal of Empirical Finance,
Elsevier, vol. 12(3), pages 490-509, June.
- Melvin. J. Hinich & Phillip Wild & John Foster, 2010.
"Testing for the Existence of a Generalized Wiener Process- the Case of Stock Prices,"
Discussion Papers Series
408, School of Economics, University of Queensland, Australia.
- Phillip Wild & John Foster, 2012.
"On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data,"
Discussion Papers Series
466, School of Economics, University of Queensland, Australia.
- Robert Pereira, 2000.
"Genetic Algorithm Optimisation for Finance and Investment,"
2000.02, School of Economics, La Trobe University.
- Drama, Bedi Guy Herve & Yao, Shen, 2010.
"Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets,"
24907, University Library of Munich, Germany.
- López-Hernández , Fernando A. & Artal-Tur, Andrés & Maté-Sánchez-Val, M. Luz, 2011.
"Identifying nonlinear spatial dependence patterns by using non-parametric tests: Evidence for the European Union,"
Asociación Española de Ciencia Regional, issue 21, pages 19-36.
- Daniela Hristova, 2004.
"Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices,"
Computing in Economics and Finance 2004
47, Society for Computational Economics.
- Chen, Shu-Heng & Yeh, Chia-Hsuan, 1997.
"Toward a computable approach to the efficient market hypothesis: An application of genetic programming,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 21(6), pages 1043-1063, June.
- Jorge Perez-Rodriguez & Salvador Torra & Julian Andrada-Felix, 2005.
"Are Spanish Ibex35 stock future index returns forecasted with non-linear models?,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 15(14), pages 963-975.
- repec:ebl:ecbull:v:7:y:2005:i:1:p:1-6 is not listed on IDEAS
- Axel Grossmann & Emiliano Giudici & Marc Simpson, 2014.
"Euro conversion and return dynamics of European financial markets: a frequency domain approach,"
Journal of Economics and Finance,
Springer, vol. 38(1), pages 1-26, January.
- Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009.
"Energy sector pricing: On the role of neglected nonlinearity,"
Elsevier, vol. 31(3), pages 492-502, May.
- Claudia Sanhueza & Dante Contreras & Angela Denis, 2012.
"Terremoto y sus efectos sobre el bienestar: un análisis multidimensional,"
35, Facultad de Economía y Empresa, Universidad Diego Portales.
- Kian-Ping Lim & Melvin J. Hinich, 2005.
"Cross-temporal universality of non-linear dependencies in Asian stock markets,"
AccessEcon, vol. 7(1), pages 1-6.
- Bai, Zhidong & Hui, Yongchang & Wong, Wing-Keung, 2012.
"New Non-Linearity Test to Circumvent the Limitation of Volterra Expansion,"
41872, University Library of Munich, Germany.
- P. B. Solibakke, 2005.
"Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 11(2), pages 111-136.
- Moosa, Imad A. & Silvapulle, Param, 2000.
"The price-volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing,"
International Review of Economics & Finance,
Elsevier, vol. 9(1), pages 11-30, February.
- Kian-Ping Lim & Venus Khim-Sen Liew & Hock-Tsen Wong, 2003.
"Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange,"
- Barry Harrison & Winston Moore, 2012.
"Stock Market Efficiency, Non-Linearity, Thin Trading and Asymmetric Information in MENA Stock Markets,"
Economic Issues Journal Articles,
Economic Issues, vol. 17(1), pages 77-93, March.
- Houston Stokes & Melvin Hinich, 2011.
"Detecting and modeling nonlinearity in the gas furnace data,"
Springer, vol. 26(1), pages 77-93, March.
- Diego Valderrama, 2003.
"Statistical Nonlinearities in the Business Cycle,"
Computing in Economics and Finance 2003
219, Society for Computational Economics.
- Ignacio Olmeda & Joaquin Pérez, 1995.
"Non-linear dynamics and chaos in the Spanish stock market,"
Fundación SEPI, vol. 19(2), pages 217-248, May.
- Rodrigo F. Aranda L. & Patricio Jaramillo G., 2010.
"Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns,"
Journal Economía Chilena (The Chilean Economy),
Central Bank of Chile, vol. 13(3), pages 67-94, December.