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Nonlinearity as an explanation of the forward exchange rate anomaly
Bond, Derek; Hession, Niall; Harrison, Michael J.; … - 2008
This paper shows that nonlinearity can provide an explanation for the forward exchange rate anomaly (Fama, 1984). Using … sterling-Canadian dollar data, and modelling nonlinearity of unspecified form by means of a random field, we find strong … evidence of time-wise nonlinearity and, significantly, obtain parameter estimates that conform with theory to a high degree of …
Persistent link: https://www.econbiz.de/10010292850
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Exploring long memory and nonlinearity in Irish real exchange rates using tests based on semiparametric estimation
Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2009
shifts and nonlinearity. In this paper, three testing approaches based on the properties of semiparametric estimators of the …; but overall the results provide fairly strong support for the possibility of nonlinearity rather than long memory. …
Persistent link: https://www.econbiz.de/10010292859
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Exploring Long Memory and Nonlinearity in Irish Real Exchange Rates using Tests based on Semiparametric Estimation
Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - School of Economics, University College Dublin - 2009
shifts and nonlinearity. In this paper, three testing approaches based on the properties of semiparametric estimators of the …; but overall the results provide fairly strong support for the possibility of nonlinearity rather than long memory. …
Persistent link: https://www.econbiz.de/10005016236
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Nonlinearity as an Explanation of the Forward Exchange Rate Anomaly
Bond, Derek; Hession, Niall; Harrison, Michael J; … - School of Economics, University College Dublin - 2007
This paper shows that nonlinearity can provide an explanation for the forward exchange rate anomaly (Fama, 1984). Using … sterling-Canadian dollar data, and modelling nonlinearity of unspecified form by means of a random field, we find strong … evidence of time-wise nonlinearity and, significantly, obtain parameter estimates that conform with theory to a high degree of …
Persistent link: https://www.econbiz.de/10005490162
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Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model
Bond, Derek; Harrison, Michael; O'Brien, Edward - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 3, pp. 1230-1230
In this paper we give an account of the approach to nonlinear econometric modelling proposed by Hamilton (2001) and briefly describe some of the methods of nonlinear optimization that may be used in the Gauss computer program provided by Hamilton for the implementation of his methodology. The...
Persistent link: https://www.econbiz.de/10005579853
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Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model
Bond, Derek; Harrison, Michael; O'Brien, Edward - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 3, pp. 1230-1230
In this paper we give an account of the approach to nonlinear econometric modelling proposed by Hamilton (2001) and briefly describe some of the methods of nonlinear optimization that may be used in the Gauss computer program provided by Hamilton for the implementation of his methodology. The...
Persistent link: https://www.econbiz.de/10004966170