Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market
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- Vasileios Kallinterakis & Nomana Munir & Mirjana Radovic-Markovic, 2009. "Do Investors Herd During Extreme Periods in Thin Markets? Evidence from Banja Luka," Book Chapters, Institute of Economic Sciences.
- 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," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 21, pages 19-36.
More about this item
Keywordsnon-linearity; conditional heteroscedasticity; trading/non-trading; ARMA-ARCH/GARCH; non-linear test statistic;
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