Chauveau, T.; Damon, J.; Guegan, D. - Caisse des Depots et Consignations - Cahiers de recherche - 1999
Our study is three-fold: we, first review the non-linear tests that we suggest to use to detect non-linearities. We, next, investigate the empirical power of the tests, using simulations under the null hypothesis that we have a linear AR model. We, then, turn to empirical data: the returns of...