𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Non-linearities in foreign exchange markets: a different perspective

✍ Scribed by Horst Kräger; Peter Kugler

Book ID
116116557
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
866 KB
Volume
12
Category
Article
ISSN
0261-5606

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Forecast in foreign exchange markets
Forecast in foreign exchange markets
✍ Baviera, R.; Pasquini, M.; Serva, M.; Vergni, D.; Vulpiani, A. 📂 Article 📅 2001 🏛 Springer 🌐 English ⚖ 253 KB
Non-Linearities in East European Black-M
Non-Linearities in East European Black-Market Exchange Rates
✍ David A. Peel; Alan E. H. Speight 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 284 KB

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