Testing for Non-Linearity in Intra-Day Financial Series : The Cases of Two French Stocks
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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|Date of creation:||1999|
|Date of revision:|
|Contact details of provider:|| Postal: Caisse des depots et consignations, Services des etudes economiques et financieres, 195 Boulevard Saint Germain- 75007 Paris, France.|
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