Episodic nonlinearity in latin american stock market indices
This letter applies the Hinich portmanteau bicorrelation test jointly with the windowed testing procedure to detect nonlinear behaviour in the rate of returns series for seven Latin American stock market indices.
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Our results suggest that the nonlinear serial dependencies are episodic in nature. All the stock returns series are characterized by few brief periods of highly significant nonlinearity, followed by long time periods in which the returns follow a pure noise process.
Our findings help explain why there are difficulties in forecasting asset returns. If you experience problems downloading a file, check if you have the proper application to view it first.
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IDEAS is a service hosted by the Research Division of the Federal Reserve Bank of St. Log in now much improved! Episodic nonlinearity in Latin American stock market indices. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections. Claudio Bonilla Rafael Romero-Meza Melvin Hinich.
HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. No references listed on IDEAS You can help add them by filling out this form. Citations are extracted by the CitEc Project , subscribe to its RSS feed for this item. This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS. Access and download statistics.
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