References
- Abhyankar , A. , Copeland , L.S. and Wong , W. 1995 . Nonlinear dynamics in real-time equity market indices: evidence from the United Kingdom . The Economic Journal , 105 : 864 – 80 .
- Akigray , V. 1989 . Conditional heteroscedasticity in time series of stock returns, evidence and forecasts . Journal of Business , 62 : 55 – 80 .
- Blattberg , R.C. and Gonedes , N.J. 1974 . A Comparison of the stable and student distributions as statistical models for stock prices . Journal of Business , 47 : 244 – 80 .
- Bollerslev , T. 1986 . Generalized autoregressive conditional heteroscedasticity . Journal of Econometrics , 31 : 307 – 27 .
- Bollerslev , T. , Chou , R.Y. and Kroner , K.F. 1992 . ARCH modelling in finance . Journal of Econometrics , 52 : 5 – 59 .
- Bollerslev, T., Engle, R.E. and Nelson, D.B. (1993) ARCH models, Working Paper, University of California, San Diego.
- Brock, W.A., Dechert, W.D. and Scheinkman, J. (1987) A test for independence based on the correlation dimension, Unpublished manuscript, Department of Economics, University of Wisconsin, Madison, forthcoming in Econometric Reviews.
- Brock , W.A. , Hsieh , D.A. and Lebaron , B. 1991 . Nonlinear dynamics, chaos, and instability , Cambridge, , MA : MIT Press .
- Brock , W.A. and de Lima , P. 1995 . “ Nonlinear time series, complexity theory, and finance ” . In Handbook of Statistics , Edited by: Maddala , G.S. and Rao , C.R. Vol. 14 , Amsterdam : North Holland . forthcoming
- de Lima, P.J.F. (1995a) Nonlinearities and nonstationarities in stock returns, Working Papers in Economics, The Johns Hopkins University, Department of Economics.
- de Lima, P.J.F. (1995b) Nuisance parameter free properties of correlation integral based statistics, Working Papers in Economics, The Johns Hopkins University, Department of Economics, forthcoming in Econometric Reviews.
- Hall , J.A. , Wade Brorsen , B. and Irwin , S.H. 1989 . A test of the stable paretian and mixtures of normals hypotheses . Journal of Financial and Quantitative Analysis , 24 ( 1 ) : 105 – 16 .
- Hinich , M. and Patterson , D. 1985 . Evidence of nonlinearity in stock returns . Journal of Business and Economic Statistics , 3 : 69 – 77 .
- Hsieh , D.A. 1989 . Modelling heteroscedasticity in daily foreign exchange rates . Journal of Business and Economic Statistics , 7 : 307 – 17 .
- Hsieh , D.A. 1991 . Chaos and nonlinear dynamics: applications to financial markets . Journal of Finance , 46 : 1839 – 77 .
- Lee , T.-H. , White , H. and Granger , C. 1993 . Testing for neglected nonlinearity in time series models: a comparison of neural network methods and alternative tests . Journal of Econometrics , 56 : 269 – 90 .
- Mandelbrot , B. 1963 . The variation of certain speculative prices . Journal of Business , 36 : 394 – 419 .
- Paudyal, K., Pope, P.F. and Yadav, P.K. (1993) Nonlinear dependence in hourly stock market returns: cash vs futures, Working paper, Department of Accounting and Finance, University of Strathclyde.
![Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.]({"type":"image" , "src" : "/sda/112445/Skyscraper-econ.png"})