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Some Empirical Evidence on the Time-Series Properties of Four UK Asset Prices

J. A. Lane, D. A. Peel and E. J. Raeburn
Economica
New Series, Vol. 63, No. 251 (Aug., 1996), pp. 405-426
DOI: 10.2307/2555014
Stable URL: http://www.jstor.org/stable/2555014
Page Count: 22
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Some Empirical Evidence on the Time-Series Properties of Four UK Asset Prices
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Abstract

In this paper we examine the time series behaviour of four UK asset prices and estimate two types of model for the differenced series. Much previous research has found the presence of time varying heteroscedasticity in the error process for asset prices; a linear model with GQARCH errors is compared to a joint Bilinear model with GQARCH errors; the latter choice motivated by the ability of Bilinear models to capture turbulent behaviour. The adequacy of these models is determined by examining simulations and also employing Test Statistics. The forecasting performance of the two models is also compared.

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