🚀 go-pugleaf

Kovinpa on hiljaista talla palstalla. Tiedoksi kuitenkin kasittaakseni
ensimmainen suomalaisia taloudellisisia aikasarjoja kaaosmenetelmin 
tarkastellut tutkimus, joka on valmistunut Louisiana State Universityn
ja Vaasan yliopiston yhteistyona.

Tutkimusta saa allekirjoittaneelta.

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NONLINEAR DEPENDENCE IN FINNISH STOCK RETURNS

by G.G.Booth, T.Martikainen, S.Sarkar, I.Virtanen, P.Yli-Olli

This paper extends the literature by using Grassberger-Procaccia correlation
dimension to explore the nature of nonlinear dynamics in daily Finnish 
stock returns for the 1970s and 1980s. Nonlinear behavior in both 
periods is evident. A simple GARCH (generalized autoregressive conditional
heteroskedasticity) model removes the nonlinearity in the first period and
dramatically reduces the nonlinearity in the second period. This supports
the notion that Finnish stock returns exhibit nonlinear dependence but that
the form of dependence is not chaotic. Our results support the earlier 
findings on German data and some results from the U.S. markets as well.

The paper was presented in the Joint International Meeting of the European
Operational Research Society and The Institute of Management Science in
Helsinki, Finland in 1992. It has been accepted for publication in The
European Journal of Operational Research.

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Teppo Martikainen, Associate Professor, Accounting and Business Finance
School of Business Studies, University of Vaasa, P.O. Box 297, SF-65101 Vaasa,
Finland, Please note that these are my own opinions only.