Author: Paolo Guarda
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 56
Book Description
On the Detection of Nonlinearity in Foreign Exchange Data
Author: Paolo Guarda
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 56
Book Description
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 56
Book Description
Nonlinear Dynamics and Economics
Author: William A. Barnett
Publisher: Cambridge University Press
ISBN: 9780521471411
Category : Business & Economics
Languages : en
Pages : 426
Book Description
This 1997 book presents developments in nonlinear economic dynamics along with related research from other fields, including mathematics, statistics, biology, and physics.
Publisher: Cambridge University Press
ISBN: 9780521471411
Category : Business & Economics
Languages : en
Pages : 426
Book Description
This 1997 book presents developments in nonlinear economic dynamics along with related research from other fields, including mathematics, statistics, biology, and physics.
Nonlinear Exchange Rate Models
Author: Lucio Sarno
Publisher: International Monetary Fund
ISBN: 1451853491
Category : Business & Economics
Languages : en
Pages : 40
Book Description
This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal exchange rate can beat a random walk model, the standard benchmark in the exchange rate literature, in terms of out-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear) exchange rate models are discussed with reference to different forecast accuracy criteria.
Publisher: International Monetary Fund
ISBN: 1451853491
Category : Business & Economics
Languages : en
Pages : 40
Book Description
This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal exchange rate can beat a random walk model, the standard benchmark in the exchange rate literature, in terms of out-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear) exchange rate models are discussed with reference to different forecast accuracy criteria.
Identifying and Modelling Nonlinearities in Australian Foreign Exchange Rate Data by Means of Flexible Nonlinear Inference
Author: R. Becker
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 38
Book Description
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 38
Book Description
Exploring Existence of Nonlinearity and Chaotic Behavior in Foreign Exchange Rate Systems
Author: Benzhou Wang
Publisher:
ISBN:
Category : Chaotic behavior in systems
Languages : en
Pages : 674
Book Description
Publisher:
ISBN:
Category : Chaotic behavior in systems
Languages : en
Pages : 674
Book Description
Testing for Nonlinear Dependence in Daily Foreign Exchange Rate Changes
Nonlinear Dynamics in the Foreign Exchange Futures Market
Author: Laura E. Kodres
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 44
Book Description
Nonlinear Dynamics, Chaos, and Instability
Author: William A. Brock
Publisher: MIT Press
ISBN: 9780262023290
Category : Business & Economics
Languages : en
Pages : 362
Book Description
Brock, Hsieh, and LeBaron show how the principles of chaos theory can be applied to such areas of economics and finance as the changing structure of stock returns and nonlinearity in foreign exchange.
Publisher: MIT Press
ISBN: 9780262023290
Category : Business & Economics
Languages : en
Pages : 362
Book Description
Brock, Hsieh, and LeBaron show how the principles of chaos theory can be applied to such areas of economics and finance as the changing structure of stock returns and nonlinearity in foreign exchange.
An Empirical Assessment of Non-linearities in Models of Exchange Rate Determination
Author: Richard Meese
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 62
Book Description
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 62
Book Description