Nonlinear dynamics in CEE stock markets indices

被引：13
|
作者：
Caraiani, Petre
机构：
来源：
ECONOMICS LETTERS | 2012年 / 114卷 / 03期
关键词：
Nonlinear models; Threshold autoregression; Smooth transition auto:egression; Simulation techniques; Chaos theory; TIME-SERIES; CHAOS;
D O I：
10.1016/j.econlet.2011.11.010
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We investigate the existence of nonlinearities in the dynamics of the returns of stock markets indices from CEE economies. We use several types of nonlinear tests. We discuss the implications of the results with respect to the efficient market hypothesis. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：329 / 331
页数：3
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