Episodic nonlinearity in leading global currencies

DOI10.1007/S11079-010-9194-9zbMATH Open1418.91376OpenAlexW2004770921MaRDI QIDQ2316902FDOQ2316902

Authors: Anastasios G. Malliaris, Melvin J. Hinich, Periklis Gogas, Apostolos Serletis 

Publication date: 7 August 2019

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: https://ecommons.luc.edu/business_facpubs/93

Recommendations

• scientific article; zbMATH DE number 1124637
• Nonlinearities in the exchange rates returns and volatility
• Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
• Assessing nonlinear structures in real exchange rates using recurrence plot strategies
• Nonlinear phenomena in economics: The exchange rate

zbMATH Keywords

conditional heteroskedasticitycurrenciesepisodic nonlinearityglobal financial markets

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• Title not available (Why is that?)
• Testing for dependence in the input to a linear time series model

Cited In (3)

• Episodic Nonlinear Event Detection in the Canadian Exchange Rate
• Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
• Tests for Nonlinearity in EMS Exchange Rates

This page was built for publication: Episodic nonlinearity in leading global currencies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2316902)