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ArticleNonlinear dependence in Finnish stock returns

G. Geoffrey Booth1994

Article1994

Nonlinear dependence in Finnish stock returns

G. Geoffrey Booth · Teppo Martikainen · Salil Kumar Sarkar · Ilkka Virtanen · Paavo Yli‐Olli

25 citations·0/0 files stored·European Journal of Operational Research

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1992ARCH modeling in finance 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1990Fads, Martingales, and Market Efficiency 1990Persistence in Variance, Structural Change, and the GARCH Model 1991Chaos and Nonlinear Dynamics: Application to Financial Markets

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Year1994

Typearticle

Published1994-04-01

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0377-2217(94)90096-5

openalex_workW2000868436

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