Testing For Nonlinearity & Modeling Volatility In Emerging Capital Markets: The Case Of Tunisia
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DOI: 10.1142/S0219024906003950
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Cited by:
- Kian-Ping Lim & Muzafar Shah Habibullah & Melvin J. Hinich, 2009. "The Weak-form Efficiency of Chinese Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 133-163, May.
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- Baker, H. Kent & Rahman, Abdul & Saadi, Samir, 2008.
"The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions,"
Review of Financial Economics, Elsevier, vol. 17(4), pages 280-295, December.
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- Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
- Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, vol. 30(C), pages 233-247.
- Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008. "Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 527-544, December.
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Keywords
Random walk; BDS test; nonlinear dynamics; conditional volatility;All these keywords.
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