La dynamique des cours boursiers: une étude empirique sur quatre marchés européens
M. Dubois and
J. M. Durini
Swiss Journal of Economics and Statistics (SJES), 1995, vol. 131, issue I, 85-119
In this paper, we investigate the properties of weekly stock market returns indexes. Four series are examined (Germany, France, United Kingdom and Switzerland). Non linear dependances are found for these markets. The QGARCH class of models describes the returns quite well. Residuals are i.i.d. but not gaussian.
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Persistent link: https://EconPapers.repec.org/RePEc:ses:arsjes:1995-i-4
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