Economics at your fingertips  

Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom

A Abhyankar, Laurence Copeland () and Woon Wong ()

Economic Journal, 1995, vol. 105, issue 431, 864-80

Abstract: 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, the authors 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, their results suggest that GARCH can explain some but not all of the observed nonlinear dependence. Copyright 1995 by Royal Economic Society.

Date: 1995
References: Add references at CitEc
Citations View citations in EconPapers (43) Track citations by RSS feed

Downloads: (external link) ... 0.CO%3B2-1&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See for details.

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:

Ordering information: This journal article can be ordered from
http://www.blackwell ... al.asp?ref=0013-0133

Access Statistics for this article

Economic Journal is currently edited by Martin Cripps, Steve Machin, Woulter den Haan, Andrea Galeotti, Rachel Griffith and Frederic Vermeulen

More articles in Economic Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

Page updated 2018-06-16
Handle: RePEc:ecj:econjl:v:105:y:1995:i:431:p:864-80