Statistical Inadequacy of GARCH Models for Asian Stock Markets
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DOI: 10.1177/097265270500400303
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- Coronado-Ramírez, Semei L. & Porras-Serrano, Jesús & Venegas-Martínez, Francisco, 2011. "Estructuras no lineales en mercados eficientes: el caso IBEX-35," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Perrotini-Hernández, Ignacio (ed.), Economía: Teoría y Métodos, volume 1, chapter 8, pages 116-129, Escuela Superior de Economía, Instituto Politécnico Nacional.
- Wild, Phillip & Hinich, Melvin J. & Foster, John, 2010.
"Are daily and weekly load and spot price dynamics in Australia's National Electricity Market governed by episodic nonlinearity?,"
Energy Economics, Elsevier, vol. 32(5), pages 1082-1091, September.
- Phillip Wild & Melvin J. Hinich & John Foster, 2008. "Are Daily and Weekly Load and Spot Price Dynamics in Australia's National Electricity Market Governed by Episodic Nonlinearity?," Discussion Papers Series 368, School of Economics, University of Queensland, Australia.
- Phillip Wild & Melvin J. Hinich & John Foster, 2008. "The Use of Trimming to Improve the Performance of Tests for Nonlinear Serial Dependence with Application to the Australian National Electricity Market," Discussion Papers Series 367, School of Economics, University of Queensland, Australia.
- Vinodh Madhavan & Partha Ray, 2018. "Evolving Efficiency of Dually-Listed Indian Stocks: A Nonlinear Perspective," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 13-35, March.
- Ehsan Ahmed & J. Barkley Rosser Jr. & Jamshed Y. Uppal, 2010. "Emerging Markets and Stock Market Bubbles: Nonlinear Speculation?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(4), pages 23-40, January.
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Keywords
GARCH; non-stationarity; data generating process; bicorrelation; Asian stock markets;All these keywords.
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