Testing non-linearities in world stock market prices

DOI10.1016/0165-1765(89)90107-9zbMATH Open1376.62058OpenAlexW2058269771MaRDI QIDQ1676594FDOQ1676594

Authors: Jan G. De Gooijer 

Publication date: 9 November 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(89)90107-9

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Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
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Cited In (10)

• Co-movements and asymmetric volatility in the Portuguese and U.S. Stock markets
• Weak form efficiency of selected European stock markets: alternative testing approaches
• Title not available (Why is that?)
• Nonlinear dynamics of the Nikkei stock average futures
• Testing Gaussianity and linearity of Japanese stock returns
• Modelling DAX by applying parabola approximation method
• Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
• Development of nonlinear stochastic models by using stock price data and basic statistics
• TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA
• Testing for efficiency and non-linearity in market and natural time series

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