Acatrinei, Marius Cristian; Caraiani, Petre - In: Journal for Economic Forecasting (2011) 2, pp. 42-54
We investigate the existence of nonlinear patterns in the dynamics of the main stock index returns in Romania. We use daily closing data of the BET stock index series from 2004 to early 2010. Based on several tests for nonlinearity we reject the null hypothesis of linearity. We use several types...