Statistical tests for linear and nonlinear dependence and long-memory in Romanian stocks market

In 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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Bibliographic Details
Published in:Carpathian Journal of Mathematics 2009-01, Vol.25 (1), p.92-103
Main Authors: Lazăr, Dorina, Filip, Andrada, Naghi, Andrea
Format: Article
Language:English
Subjects:
Autocorrelation
Betting
Correlations
Efficient markets
Memory
Nonlinearity
Null hypothesis
Stock markets
Time series
Time series models
Online Access:Get full text
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Description
Summary:In this paper various statistical tests are used to identify certain linear and/or nonlinear dependencies, respectively a long memory behavior in Romanian stocks returns.
ISSN:1584-2851
1843-4401