Episodic nonlinearity in Latin American stock market indices
This letter applies the Hinich portmanteau bicorrelation test jointly with the windowed testing procedure to detect nonlinear behaviour in the rate of returns series for seven Latin American stock market indices. Our results suggest that the nonlinear serial dependencies are episodic in nature. All the stock returns series are characterized by few brief periods of highly significant nonlinearity, followed by long time periods in which the returns follow a pure noise process. Our findings help explain why there are difficulties in forecasting asset returns.
Year of publication: |
2006
|
---|---|
Authors: | Bonilla, Claudio ; Romero-Meza, Rafael ; Hinich, Melvin |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 13.2006, 3, p. 195-199
|
Publisher: |
Taylor & Francis Journals |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Nonlinear event detection in the Chilean stock market
Romero-Meza, Rafael, (2007)
-
GARCH inadequacy for modelling exchange rates : empirical evidence from Latin America
Bonilla, Claudio A., (2007)
-
Romero-Meza, Rafael, (2010)
- More ...