1995
DOI: 10.2307/2235155
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Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom

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Cited by 110 publications
(61 citation statements)
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References 20 publications
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“…It is fair to say that studies on macroeconomic series have not been particularly successful, being often beset with problems of insu cient data and excessive noise and measurement error Ramsey and Yuan, 1990). The literature employing ® nancial data has been far more voluminous, and some of the best examples are Abhyankar et al (1995), Hsieh (1989b), Scheinkman and LeBaron (1989a, 1989b), and May® eld and Mizrach (1992. With the notable exception of Wiley (1992), the common ® nding is that there is overwhelming evidence of non-linear structure across many types of ® nancial data (stocks, bonds, futures, foreign exchange), which can reasonably be described as a generalized autoregressive conditionally heteroscedastic (GARCH) process (Ballie and Bollerslev, 1989).…”
Section: I a S U M Ma R Y O F P R Ev I O U S R E S Ea R C H I N Tmentioning
confidence: 99%
“…It is fair to say that studies on macroeconomic series have not been particularly successful, being often beset with problems of insu cient data and excessive noise and measurement error Ramsey and Yuan, 1990). The literature employing ® nancial data has been far more voluminous, and some of the best examples are Abhyankar et al (1995), Hsieh (1989b), Scheinkman and LeBaron (1989a, 1989b), and May® eld and Mizrach (1992. With the notable exception of Wiley (1992), the common ® nding is that there is overwhelming evidence of non-linear structure across many types of ® nancial data (stocks, bonds, futures, foreign exchange), which can reasonably be described as a generalized autoregressive conditionally heteroscedastic (GARCH) process (Ballie and Bollerslev, 1989).…”
Section: I a S U M Ma R Y O F P R Ev I O U S R E S Ea R C H I N Tmentioning
confidence: 99%
“…which is obviously a single-state restriction of (2). Of course, (3) implies that real asset returns are not predictable, while (2) implies that real asset returns may follow nonlinear predictability patterns, driven by the fact that the latent state  +1 displays a predictable Markov structure when the transition matrix P differs from (1) ι + ι 0 + , where ι + ≡ [1 1 ... 1] 0 , i.e., when the regimes themselves are persistent so that knowledge of  +1 implies some ability to forecast  +1 : Pr( +1 |  ) 6 = 1.…”
Section: Econometric Modelsmentioning
confidence: 99%
“…Besides the references cited above, one closely related paper in this literature is Li (2011) who has used one VAR framework to investigate the horizon effects in optimal portfolio weights deriving from predictability and model uncertainty using U.K. data. 2 Differently from Li's paper, our goal is to examine a wide range of VAR models (capturing the main variants that have appeared in the literature) in relation to a single, relatively simple, nonlinear model. Here, the large family of VARs consists of all those one can form using combinations of 6 predictors and alternative lag orders,  = 1, 2, 4 and 12.…”
Section: Introductionmentioning
confidence: 99%
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“…Recent advances in mathematical modelling have sparked a large volume of research into the re-examination of the behaviour of security returns. A large number of recent studies have applied much more sophisticated techniques to examine the behaviour of financial series in recent times (see MacKinlay, 1988, 1989;Liu and He, 1991;Scheinkman and LeBaron, 1989;Hsieh ,1991;Willey, 1992;Poon and Taylor, 1992;Abhyankar et al, 1995Abhyankar et al, , 1997Opong et al, 1999;Wright, 2000;Belaire-Franch, 2003;Belaire-Franch and Opong, 2002 among others).…”
Section: Introductionmentioning
confidence: 99%