Nonlinear dynamics in CEE stock markets indices

We investigate the existence of nonlinearities in the dynamics of the returns of stock markets indices from CEE economies. We use several types of nonlinear tests. We discuss the implications of the results with respect to the efficient market hypothesis.

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Year of publication:	2012
Authors:	Caraiani, Petre
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 114.2012, 3, p. 329-331
Publisher:	Elsevier
Subject:	Nonlinear models \| Threshold autoregression \| Smooth transition autoregression \| Simulation techniques \| Chaos theory

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572246