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Nonlinear dependence in Finnish stock returns

Author

Listed:
  • Booth, G. Geoffrey
  • Martikainen, Teppo
  • Sarkar, Salil K.
  • Virtanen, Ilkka
  • Yli-Olli, Paavo

Abstract

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Suggested Citation

  • Booth, G. Geoffrey & Martikainen, Teppo & Sarkar, Salil K. & Virtanen, Ilkka & Yli-Olli, Paavo, 1994. "Nonlinear dependence in Finnish stock returns," European Journal of Operational Research, Elsevier, vol. 74(2), pages 273-283, April.
    • Handle: RePEc:eee:ejores:v:74:y:1994:i:2:p:273-283
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    Cited by:

    1. George-Jason Siouris & Alex Karagrigoriou, 2017. "A Low Price Correction for Improved Volatility Estimation and Forecasting," Risks, MDPI, vol. 5(3), pages 1-14, August.
    2. Sun, Limei & Xiang, Meiqi & Shen, Qing, 2020. "A comparative study on the volatility of EU and China’s carbon emission permits trading markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    3. Kian-Ping Lim & Venus Khim-Sen Liew & Hock-Tsen Wong, 2003. "Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange," Finance 0312012, University Library of Munich, Germany.
    4. Aggarwal, Divya, 2019. "Do bitcoins follow a random walk model?," Research in Economics, Elsevier, vol. 73(1), pages 15-22.
    5. Christopher Brooks & Melvin Hinich, 1998. "Episodic nonstationarity in exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 5(11), pages 719-722.

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