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Further evidence on the presence of non-linearity in the DJIA.

Publication: International Advances in Economic Research
Publication Date: 01-NOV-06
Format: Online
Delivery: Immediate Online Access
Full Article Title: Further evidence on the presence of non-linearity in the DJIA.(Research Notes)(Dow Jones Industrial Average)(Brief article)

Article Excerpt
In this paper, we report further evidence on the presence of non-linearity in the Dow Jones Industrial Average (DJIA). Daily continuously compounded returns of the DJIA are taken over the period 01/02/1930 to 06/01/2006. First, linear dependency in the data was removed by fitting an ARMA(1, 0) for the...

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