Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7593
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dc.contributor.authorTabak, Benjamin Miranda
dc.date.accessioned2016-10-10T03:52:00Z-
dc.date.available2016-10-10T03:52:00Z-
dc.date.issued2007
dc.identifier.citationTABAK, Benjamin Miranda. Testing for unit root bilinearity in the Brazilian stock market. Physica. A , v. 385, p. 261-269, 2007.pt_BR
dc.identifier.urihttp://twingo.ucb.br:8080/jspui/handle/10869/361
dc.identifier.urihttps://repositorio.ucb.br:9443/jspui/handle/123456789/7593-
dc.description.abstractIn this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of nonlinear unit roots in Brazilian equity shares. The empirical evidence for a set of 53 individual stocks, after adjusting for GARCH effects, suggests that for more than 66%, the hypothesis of unit root bilinearity is accepted. Therefore, the dynamics of Brazilian share prices is in conformity with this type of nonlinearity. These nonlinearities in spot prices may emerge due to the sophistication of the derivatives market.pt_BR
dc.description.provenanceMade available in DSpace on 2016-10-10T03:52:00Z (GMT). No. of bitstreams: 5 Testing for unit root bilinearity in the Brazilian stock market.pdf: 156923 bytes, checksum: d73e951214afea74ff447f6e1705444c (MD5) license_url: 52 bytes, checksum: 3d480ae6c91e310daba2020f8787d6f9 (MD5) license_text: 21716 bytes, checksum: 282d2b1a583fb55b557e8a3be8d5dd05 (MD5) license_rdf: 23930 bytes, checksum: 6b71892b27c4389434057b8b0e86b43e (MD5) license.txt: 1872 bytes, checksum: 9ede5d1aaff3f6277cd24454ee44422e (MD5) Previous issue date: 2007en
dc.formatTextopt_BR
dc.language.isoenpt_BR
dc.rightsAcesso Abertopt_BR
dc.subjectBilinear unit rootpt_BR
dc.subjectGARCHpt_BR
dc.subjectEquity pricespt_BR
dc.subjectEmerging marketspt_BR
dc.subjectMarket efficiencypt_BR
dc.titleTesting for unit root bilinearity in the Brazilian stock marketpt_BR
dc.typeArtigopt_BR
dc.description.statusPublicadopt_BR
dc.journalPhysicapt_BR
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