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

Author

Listed:
  • 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.

Suggested Citation

  • Chauveau, T. & Damon, J. & Guegan, D., 1999. "Testing for Non-Linearity in Intra-Day Financial Series : The Cases of Two French Stocks," Papers 1999-06/fi, Caisse des Depots et Consignations - Cahiers de recherche.
  • Handle: RePEc:fth:cadeco:1999-06/fi
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    More about this item

    Keywords

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

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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