Nonlinear dynamics in multinational financial data

We test for the presence of non‐linear dynamics in real stock return, in the American, British, and Japanese equity markets. Evidence on non‐linearities will have important implications for financial analysts. The results provide evidence of nonlinear structure in stock returns, in the three markets, suggesting that linear models, such as Ordinary Least Squares or Vector Autoregressive (VAR), may not always be appropriate for analyzing data.

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Year of publication:	2003
Authors:	Tsoukalas, Dimitrios ; Darayseh, Musa ; Waples, Elaine
Published in:	Managerial Finance. - MCB UP Ltd, ISSN 1758-7743, ZDB-ID 2047612-7. - Vol. 29.2003, 8, p. 1-8
Publisher:	MCB UP Ltd
Subject:	Accounting research \| Time series analysis \| Share prices \| USA \| United Kingdom \| Japan

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Type of publication:	Article
Type of publication (narrower categories):	conceptual-paper
Language:	English
Other identifiers:	10.1108/03074350310768382 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014939675