淡江大學機構典藏:Item 987654321/72537
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    題名: Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom
    作者: Abhyankar, A.;Copeland, L. S.;黃文光;Wong, W.
    貢獻者: 淡江大學財務金融學系
    日期: 1995-07-01
    上傳時間: 2011-10-24 10:32:33 (UTC+8)
    出版者: Blackwell Publishers; Royal Economic Society
    摘要: This paper tests for the presence of nonlinear dependence and chaos in real-time returns on the U.K. FTSE-100 Index, using a six month sample of about 60,000 observations. Since there is clear evidence of nonlinearity, we follow other researchers in this field by applying the same tests to the residuals from a GARCH process fitted to the data, in order to find out whether or not the nonlinearity can be explained by this type of model. In the event, our results suggest that GARCH can explain some but not all of the observed nonlinear dependence.
    關聯: Economic Journal 105(431), pp.864-880
    DOI: 10.2307/2235155
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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