Mcmillan And Speight-Nonlinear Dynamics In High Frequency Intra-Day Financial Data
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Mcmillan And Speight-Nonlinear Dynamics In High Frequency Intra-Day Financial Data

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NONLINEAR DYNAMICS IN HIGH FREQUENCY INTRA-DAY FINANCIAL DATA: EVIDENCE FOR THE UK LONG GILT FUTURES MARKET David G McMillan1 and Alan E H Speight2,* July 1999 Abstract Tests againstthe nulloflinearityindicate smoothtransitionautoregressive nonlinearities... More

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