Statistical Inadequacy of GARCH Models for Asian Stock Markets
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- repec:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-017-0076-5 is not listed on IDEAS
- Wild, Phillip & Hinich, Melvin J. & Foster, John, 2010.
"Are daily and weekly load and spot price dynamics in Australia's National Electricity Market governed by episodic nonlinearity?,"
Elsevier, vol. 32(5), pages 1082-1091, September.
- Phillip Wild & Melvin J. Hinich & John Foster, 2008. "Are Daily and Weekly Load and Spot Price Dynamics in Australia’s National Electricity Market Governed by Episodic Nonlinearity?," Discussion Papers Series 368, School of Economics, University of Queensland, Australia.
- Ehsan Ahmed & J. Barkley Rosser Jr. & Jamshed Y. Uppal, 2010. "Emerging Markets and Stock Market Bubbles: Nonlinear Speculation?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(4), pages 23-40, January.
- Phillip Wild & Melvin J. Hinich & John Foster, 2008. "The Use of Trimming to Improve the Performance of Tests for Nonlinear Serial Dependence with Application to the Australian National Electricity Market," Discussion Papers Series 367, School of Economics, University of Queensland, Australia.
- Vinodh Madhavan, 2014. "Investigating the nature of nonlinearity in Indian Exchange Traded Funds (ETFs)," Managerial Finance, Emerald Group Publishing, vol. 40(4), pages 395-415, March.
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KeywordsGARCH; non-stationarity; data generating process; bicorrelation; Asian stock markets;
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