Dı́az, Andrés Fernández; Grau-Carles, Pilar; … - In: Physica A: Statistical Mechanics and its Applications 316 (2002) 1, pp. 469-482
Recent findings of nonlinearities in financial assets can be the product of contamination produced by shifts in the distribution of the data. Using the BDS and Kaplan tests it is shown that, some of the nonlinearities found in foreign exchange rate returns, can be the product of shifts in...