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Linear and nonlinear exchange rate exposure

✍ Scribed by Richard Priestley; Bernt Arne Ødegaard

Book ID: 116658828
Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 246 KB
Volume: 26
Category: Article
ISSN: 0261-5606
DOI: 10.1016/j.jimonfin.2007.05.001

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The conditional heteroscedastic models (CHM) are commonly used to describe the dynamics of nominal exchange rates. However, some investigations have already pointed out that the CHMs are not able to fully explain all non-linearities exhibited by the exchange rate series. This paper analyses the perf