Trivedi, Alpana; Brooks, Robert - In: Applied Economics Letters 6 (1999) 9, pp. 581-584
This paper explores whether predictable autocorrelation structures exist in returns data on Australian stock indices. We explore the data using the power transformations of Ding, Granger and Engle (1993) and Hentschel (1995). We find that for a large number of different market indices there...