Nonlinear dependence and conditional heteroscedasticity in stock returns: UK evidence

The BDS test is used to investigate whether stock returns for five companies and the FTALL index exhibit nonlinear dependence. It is found that conditional heteroscedasticity account for most of the nonlinearity of stock returns in the UK.

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Year of publication:	1997
Authors:	Omran, M. F.
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 4.1997, 10, p. 647-650
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009195895