An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application

被引：0
|
作者：
Theodore Panagiotidis
机构：
[1] University of Macedonia,Department of Economics
来源：
Computational Economics | 2010年 / 36卷
关键词：
Nearest neighbour; Nonlinearity; C22; C53; G10;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper employs a local information, nearest neighbour forecasting methodology to test for evidence of nonlinearity in financial time series. Evidence from well-known data generating process are provided and compared with returns from the Athens stock exchange given the in-sample evidence of nonlinear dynamics that has appeared in the literature. Nearest neighbour forecasts fail to produce more accurate forecasts from a simple AR model. This does not substantiate the presence of in-sample nonlinearity in the series.
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页码：121 / 132
页数：11
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