State dependent models of stock returns

Phillip A. Braun*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

We analyze the nonlinear time series properties of weekly stock returns using a state dependent model. The data exhibit little evidence of state dependency or even time dependency. They do, however, have some temporal movement in their autoregressive coefficients in the period 1962 through 1975 and fit linear autoregressive models from 1975 through 1987. We conclude that previous findings of nonlinearities in stock returns are not due to nonlinearities in the conditional mean process.

Original languageEnglish (US)
Pages (from-to)17-29
Number of pages13
JournalComputers and Mathematics with Applications
Volume24
Issue number8-9
DOIs
StatePublished - 1992

ASJC Scopus subject areas

  • Modeling and Simulation
  • Computational Theory and Mathematics
  • Computational Mathematics

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