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

DOI10.1016/S0377-2217(00)00265-4MaRDI QIDQ5952500zbMATH OpenDBLPWikidataFDO

Authors Richard D. F. Harris, C. Coskun Küçüközmen

Publication date 27 February 2002

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0377-2217(00)00265-4

zbMATH Keywords

nonlinear dependencerisk managementvalue-at-riskIstanbul stock exchangeconditional return distribution

Mathematics Subject Classification ID

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Cites work

• A test for independence based on the correlation dimension
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Efficiency of the Turkish stock exchange with respect to monetary variables: A cointegration analysis
• Generalized autoregressive conditional heteroscedasticity
• Measuring the strangeness of strange attractors
• Nuisance parameter free properties of correlation integral based statistics
• On the robustness of nonlinearity tests to moment condition failure

Cited in

(1)

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

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