Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach
The objective of this paper is to test for the existence of both linear and nonlinear causal relationships
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- De Bondt, Werner F M & Thaler, Richard H, 1987. " Further Evidence on Investor Overreaction and Stock Market Seasonalit y," Journal of Finance, American Finance Association, vol. 42(3), pages 557-581, July. Full references (including those not matched with items on IDEAS)
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