Non-Linearities in East European Black-M
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David A. Peel; Alan E. H. Speight
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Article
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1997
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John Wiley and Sons
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English
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This paper reports evidence of non-linearities in the black-market exchange returns of the Bulgarian lev, Czechoslovak koruna, Hungarian forint, Polish zloty, Rumanian lei and Soviet ruble. Attempts to characterize that non-linearity using QGARCH and simultaneous BL-QGARCH models prove successful fo