Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management

DOI10.1016/S0377-2217(00)00265-4zbMath0988.91046WikidataQ57944518 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)

zbMATH Keywords

nonlinear dependencevalue-at-riskconditional return distributionIstanbul stock exchangerisk management

Mathematics Subject Classification ID

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Nonlinearity, data-snooping, and stock index ETF return predictability

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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