Nonlinear dependence and conditional heteroscedasticity in stock returns: UK evidence

M. F. Omran

Applied Economics Letters, 1997, vol. 4, issue 10, 647-650

Abstract: The BDS test is used to investigate whether stock returns for five companies and the FTALL index exhibit nonlinear dependence. It is found that conditional heteroscedasticity account for most of the nonlinearity of stock returns in the UK.

Date: 1997
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DOI: 10.1080/758533293

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