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Nonlinear dependence and conditional heteroscedasticity in stock returns: UK evidence

https://doi.org/10.1080/758533293
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-4757-2763-0_14openalex-snapshot
The variation of certain speculative prices
inferredcites →https://doi.org/10.1016/0164-0704(93)90072-topenalex-snapshot
Nonlinear dynamics, chaos, and instability
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-snapshot
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/0304-4076(92)90064-xopenalex-snapshot
ARCH modeling in finance
inferredcites →https://doi.org/10.1016/0304-4076(93)90122-lopenalex-snapshot
Testing for neglected nonlinearity in time series models
inferredcites →https://doi.org/10.1016/s0169-7161(96)14013-xopenalex-snapshot
11 Nonlinear time series, complexity theory, and finance
inferredcites →https://doi.org/10.1017/cbo9780511753961.009openalex-snapshot
Testing for Neglected Nonlinearity in Time Series Models: A Comparison of Neural Network Methods and Alternative Tests
inferredcites →https://doi.org/10.1080/07350015.1985.10509428openalex-snapshot
Evidence of Nonlinearity in Daily Stock Returns
inferredcites →https://doi.org/10.1080/07350015.1989.10509740openalex-snapshot
Modeling Heteroscedasticity in Daily Foreign-Exchange Rates
inferredcites →https://doi.org/10.1080/07350015.1998.10524756openalex-snapshot
Nonlinearities and Nonstationarities in Stock Returns
inferredcites →https://doi.org/10.1086/294632openalex-snapshot
The Variation of Certain Speculative Prices
inferredcites →https://doi.org/10.1086/295634openalex-snapshot
A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices
inferredcites →https://doi.org/10.1086/296451openalex-snapshot
Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb04646.xopenalex-snapshot
Chaos and Nonlinear Dynamics: Application to Financial Markets
inferredcites →https://doi.org/10.2307/2235155openalex-snapshot
Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom
inferredcites →https://doi.org/10.2307/2330751openalex-snapshot
The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses
inferredcites →https://doi.org/10.2307/2554962openalex-snapshot
Nonlinear Dynamics, Chaos and Instability.

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.317485openalex-extracted
Non-Linear Tests of Weakly Efficient Markets: Evidence from Portugal
inferred← citeshttps://doi.org/10.2139/ssrn.906515openalex-extracted
Testing the Assertion that Emerging Asian Stock Markets are Becoming More Efficient
inferred← citeshttps://doi.org/10.2139/ssrn.912603openalex-extracted
Events that Shook the Market: An Insight from Nonlinear Serial Dependencies in Intraday Returns
inferred← citeshttps://doi.org/10.2139/ssrn.980890openalex-extracted
Nonlinear Dependence and Conditional Heteroscedasticity: A Notes from Malaysian Daily Stock Returns
inferred← citeshttps://doi.org/10.1007/978-3-319-70096-0_89openalex-snapshot
Non-Negative Matrix Factorization with Exogenous Inputs for Modeling Financial Data
inferred← citeshttps://doi.org/10.1016/s0377-2217(00)00265-4openalex-snapshot
Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
inferred← citeshttps://doi.org/10.1057/978-1-137-48880-0_2openalex-snapshot
Trading the FTSE100 Index: ‘Adaptive’ Modelling and Optimization Techniques
inferred← citeshttps://doi.org/10.1080/1331677x.2012.11517506openalex-snapshot
The Reduction of Uncertainty in Making Decisions by Evaluating the Macroeconomic Forecasts Performance in Romania
inferred← citeshttps://doi.org/10.1080/1331677x.2012.11517512openalex-snapshot
Long Memory in Eastern European Financial Markets Returns
inferred← citeshttps://doi.org/10.1109/ispa.2019.8868930openalex-snapshot
Variational Autoencoder for Non-Negative Matrix Factorization with Exogenous Inputs Applied to Financial Data Modelling
inferred← citeshttps://doi.org/10.5772/intechopen.94438openalex-snapshot
Are African Stock Markets Inefficient or Adaptive? Empirical Literature
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