Abstract
The BDS test is used to investigate whether stock returns for five companies and the FTALL index exhibit nonlinear dependence. It is found that conditional heteroscedasticity account for most of the nonlinearity of stock returns in the UK.
| Original language | English |
|---|---|
| Pages (from-to) | 647-650 |
| Number of pages | 4 |
| Journal | Applied Economics Letters |
| Volume | 4 |
| Issue number | 10 |
| Publication status | Published - Oct 1997 |