Numerous recent studies are emphasizing the existence of different stock price behaviors, namely long random walk sub periods alternating with short ones characterized by strong linear and/or nonlinear correlations. All these studies suggest that these serial dependencies have an episodic...

This paper investigates the possibility to analyse the structure of unconditional or conditional (and possibly nonlinear) dependence in financial returns without requiring the specification of mean-variance models or a theoretical probability distribution. <abstract/>The main goal of the paper is to show...

This paper suggests a systematic approach to studying predictability and nonlinear dependence in the context of the Indian stock market, one of the most important emerging stock markets in the world. The proposed approach considers nonlinear dependence in returns and envisages appropriate...

This article applies the Hinich portmanteau test to the daily return of the international Arabica Colombian coffee price the period 06/29/1990 to 07/01/2010. By splitting the data in windows and setting the null hypothesis on the time series, H : a stationary pure noise process with zero 0...