Nonlinear dependence and conditional heteroscedasticity in stock returns: UK evidence

M F Omran

    Research output: Contribution to journalArticle

    4 Citations (Scopus)

    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 languageEnglish
    Pages (from-to)647-650
    Number of pages4
    JournalApplied Economics Letters
    Volume4
    Issue number10
    Publication statusPublished - Oct 1997

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