Lim, Kian-Ping; Liew, Venus Khim-Sen - In: Applied Financial Economics Letters 3 (2007) 1, pp. 25-29
Utilizing the standard linearity test of Luukkonen et al . (1988), the linear nature of all the Asian stock indices has been formally rejected. This finding warrants use of the nonlinear stationary test of Kapetanois et al . (2003), which is also constructed in the STAR framework, to investigate...
