Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
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Publication:5952500
DOI10.1016/S0377-2217(00)00265-4zbMath0988.91046DBLPjournals/eor/HarrisK01WikidataQ57944518 ScholiaQ57944518MaRDI QIDQ5952500
Richard D. F. Harris, C. Coskun Küçüközmen
Publication date: 27 February 2002
Published in: European Journal of Operational Research (Search for Journal in Brave)
nonlinear dependencevalue-at-riskconditional return distributionIstanbul stock exchangerisk management
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Cites Work
- Measuring the strangeness of strange attractors
- Efficiency of the Turkish stock exchange with respect to monetary variables: A cointegration analysis
- On the robustness of nonlinearity tests to moment condition failure
- Generalized autoregressive conditional heteroscedasticity
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A test for independence based on the correlation dimension
- Nuisance parameter free properties of correlation integral based statistics
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