Nonlinearities and Nonstationarities in Stock Returns
This paper addresses the question of whether recent findings of nonlinearities qhave been contaminated by possible shifts in the distribution of the first differences of the logarithms of stock prices indexes The paper develops a testing methodology that formally attempts to discriminate between the two types of rejections of the null of linearity It is shown that structural shifts play an important role in the evolution of financial time series: linear processes with shifts in variance are able to replicate the behavior of the tests introduced in the paper whereas stationary ARCH-type filters show little consistency with the data Moreover it is shown that ARCH models fitted to data generated by a simple one-break linear process exhibit levels of persistence similar to the ones usually reported for high-frequency applications Key words: BDS test Nonlinearity Nonstationarity
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Jan 1996|
|Date of revision:|
|Contact details of provider:|| Postal: 3400 North Charles Street Baltimore, MD 21218|
Web page: http://www.econ.jhu.edu
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:jhu:papers:360. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (None)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.