TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA

DOI10.1142/S0219024906003950zbMath1140.62346OpenAlexW1974731576MaRDI QIDQ3421822

Samir Saadi, Devinder Gandhi, Shantanu Dutta

Publication date: 8 February 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003950

zbMATH Keywords

nonlinear dynamicsrandom walkconditional volatilityBDS test

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items

Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

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