Evidence of Nonlinearity in Daily Stock Returns
日度股票收益非线性的证据
This article applies a newly developed statistical technique to time series of daily rates of return of 15 common stocks. The technique involves estimating the bispectrum of the observed time series. The bispectrum is defined as the double Fourier transform of the third-order cumulant function. If the process generating rates of return is linear with independent innovations, then the skewness of the bispectrum will be constant. The article describes a test that can detect…