Testing for Non-Linearity in Intra-Day Financial Series: The Cases of Two French Stocks

T. Chauveau, J. Damon and D. Guegan

Working Papers from Caisse des Depots et Consignations - Cahiers de recherche

Abstract: Our study is three-fold: we, first review the non-linear tests that we suggest to use to detect non-linearities. We, next, investigate the empirical power of the tests, using simulations under the null hypothesis that we have a linear AR model. We, then, turn to empirical data: the returns of two french stocks.

Keywords: FINANCIAL ASSETS; TESTS Services des etudes economiques et financieres, 195 Boulevard Saint-Germain-75005 Paris, France. 48p. (search for similar items in EconPapers)
JEL-codes: C50 C52 G12 (search for similar items in EconPapers)
Date: 1999
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:cadeco:1999-06/fi

Access Statistics for this paper

More papers in Working Papers from Caisse des Depots et Consignations - Cahiers de recherche Caisse des depots et consignations, Services des etudes economiques et financieres, 195 Boulevard Saint Germain- 75007 Paris, France..
Bibliographic data for series maintained by Thomas Krichel ().