| Journal Call no. | HD28.H64 |
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| Author | Chan, Wai-sum. |
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| Article Title | On tests for nonlinearity in Hong Kong stock returns / Wai-sum Chan. |
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| Is Part Of | Hong Kong journal of business management ; v.8, 1990, p.1-11, illus. |
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| Abstract | Many researchers believe that the stock returns are generated by nonlinear systems. In this paper the author applies commonly used tests to examine the threshold-type nonlinearity in Hong Kong stock returns. The results indicate that threshold autoregression is a possible class of nonlinear models for modelling and forecasting financial returns. |
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