Testing for Non-Linearity in Intra-Day Financial Series : The Cases of Two French Stocks.

Our study is three-fold: we, first review the non-linear tests that we suggest to use to detect non-linearities. We, next, investigate the empirical power of the tests, using simulations under the null hypothesis that we have a linear AR model. We, then, turn to empirical data: the returns of two french stocks.

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Year of publication:	1999
Authors:	Chauveau, T. ; Damon, J. ; Guegan, D.
Institutions:	Caisse des Depots et Consignations - Cahiers de recherche
Subject:	FINANCIAL ASSETS \| TESTS Services des etudes economiques et financieres \| 195 Boulevard Saint-Germain-75005 Paris \| France. 48p

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Series:	Caisse des Depots et Consignations - Cahiers de recherche.
Type of publication:	Book / Working Paper
Classification:	G12 - Asset Pricing ; C50 - Econometric Modeling. General ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005475189