Mitianoudis, Nikolaos; Dergiades, Theologos - In: Credit and Capital Markets – Kredit und Kapital 50 (2017) 1, pp. 37-61
Accepting non-linearities as an endemic feature of financial data, this paper re-examines Cochrane"s "new fact in finance" hypothesis (Cochrane, Economic Perspectives-FRB of Chicago 23, 36–58, 1999). By implementing two methods, frequently encountered in digital signal processing analysis,...
