haku: @indexterm financial models / yhteensä: 494
viite: 18 / 494
| Tekijä: | Östermark, R. (et al.) |
| Otsikko: | Nonlinear modelling of the Finnish banking and finance branch index |
| Lehti: | European Journal of Finance
2004 : AUG, VOL. 10:4, p. 277-289 |
| Asiasana: | Banking Finland Financial models Time series Stock exchanges |
| Vapaa asiasana: | Variance-nonlinearity Mean-nonlinearity |
| Kieli: | eng |
| Tiivistelmä: | It is well documented that daily returns of several financial assets cannot be modelled by pure linear processes. In this paper some linear modelling techniques are applied to a Finnish financial time series, the daily Banking and Finance branch index on the Helsinki Stock Exchange. The techniques include a variance-nonlinear model from the ARCH family, a mean-nonlinear model, namely Smooth Transition Autoregression (STAR)-model and a neural network. Linearity is tested by standard autocorrelation tests, LM-tests against the specific nonlinear models and theBDS-test. The study demonstrates that the stock series is both linearly and nonlinearly dependent. Adapting an ARCH eliminates the dependencies most satisfactorily. The ARCH-models and STAR-models were estimated using the SHAZAM-package. |
SCIMA