Episodic nonlinearity in leading global currencies

DOI10.1007/S11079-010-9194-9MaRDI QIDQ2316902zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2133811 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Testing for a unit root in time series regression
• Testing for dependence in the input to a linear time series model
• Time Series Regression with a Unit Root

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

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