L S Copeland

Biographic Data

ID5732469
NAMEL S Copeland
GIVEN NAMESL S
FAMILY NAMECopeland
SIGNATURECOPELAND L S
AFFILIATIONSUniversity of Stirling
VERIFIEDNo
TOTAL WORKS3
TOTAL CITATIONS2
AUTHOR COUNT3
EDITOR COUNT0
FIRST PUBLICATION YEAR1995
LATEST PUBLICATION YEAR1997
H-INDEX1

  • Uncovering Nonlinear Structure In Real-Time Stock-Market Indexes

    A Abhyankar, L S Copeland et al.ARTICLEJournal of Business and Economic…1997

    This article tests for nonlinear dependence and chaos in real-time returns on the world's four most important stock-market indexes. Both the Brock–Dechert–Scheinkman and the Lee, White, and Granger neural-network-based tests indicate persistent nonlinear structure in the series. Estimates of the Lyapunov exponents using the Nychka, Ellner, Gallant, and McCaffrey neural-net method and the Zeng, Pielke, and Eyckholt nearest-neighbor algorithm confi…

  • Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes

    A Abhyankar, L S Copeland et al.ARTICLEJournal of Business and Economic…1997

    A. Abhyankar, L. S. Copeland, W. Wong, Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100, Journal of Business & Economic Statistics, Vol. 15, No. 1 (Jan., 1997), pp. 1-14

  • Nonlinear Dynamics in Real-Time Equity Market Indices

    A Abhyankar, L S Copeland et al.ARTICLEThe Economic Journal1995Cited by: 2

    This paper tests for the presence of nonlinear dependence and chaos in real-time returns on the U.K. FTSE-100 Index, using a six month sample of about 60,000 observations. Since there is clear evidence of nonlinearity, we follow other researchers in this field by applying the same tests to the residuals from a GARCH process fitted to the data, in order to find out whether or not the nonlinearity can be explained by this type of model. In the even…