Amilon, Henrik; Byström, Hans - Nationalekonomiska Institutionen, Ekonomihögskolan - 1998
Numerous empirical studies have shown evidence of nonlinearities in financial time series, which can be of both a deterministic and a stochastic nature. Chaos is an example of the former, and heteroscedasticity in the conditional variance an example of the latter. We apply a test, the BDS test,...