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


Dorina LazarAndrada FilipAndrea Naghi


Abstract

carpathian_2009_25_1_092_103_abstract

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carpathian_2009_25_1_092_103

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.