Testing for nonlinear dependence in daily stock indices
1992
Abstract This article presents the results of tests for nonlinear dependence in the daily prices of the Standard & Poor's Index and the National Association of Securities Dealers Automated Quotations System 100 Stock Index. Deterministic chaos is rejected by two of three recently developed empirical tests. The methodology for implementing these diagnostic tests for financial time series is discussed, along with a route for future research to follow.
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