Bonilla, Claudio; Romero-Meza, Rafael; Hinich, Melvin - In: Applied Economics Letters 13 (2006) 3, pp. 195-199
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....