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- W2017339966 abstract "This letter applies the Hinich portmanteau bicorrelation test jointly with the windowed testing procedure to detect nonlinear behaviour in the rate of returns series for seven Latin American stock market indices. Our results suggest that the nonlinear serial dependencies are episodic in nature. All the stock returns series are characterized by few brief periods of highly significant nonlinearity, followed by long time periods in which the returns follow a pure noise process. Our findings help explain why there are difficulties in forecasting asset returns." @default.
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- W2017339966 title "Episodic nonlinearity in Latin American stock market indices" @default.
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