Statistical tests for linear and nonlinear dependence and long-memory in Romanian stocks market
Dorina Lazar ♦ Andrada Filip ♦ Andrea Naghi
Abstract
carpathian_2009_25_1_092_103_abstractFull PDF
carpathian_2009_25_1_092_103In this paper various statistical tests are used to identify certain linear and/or nonlinear dependencies, respectively a long memory behavior in Romanian stocks returns.
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