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Kočenda, Evžen - In: Politická ekonomie 2000 (2000) 6

proposed alternative (henceforth the K2K test) extends and generalizes the widely known BDS test. By its construction, it … order to evaluate performance of the K2K test relative to the BDS test. The results are favorable for the K2K test. …

Persistent link: https://www.econbiz.de/10005258078

Chaotic Exchange Rate Dynamics Redux

Silva, Sergio Da - In: Open Economies Review 12 (2001) 3, pp. 281-304

This article generalizes the results shown in De Grauwe, Dewachter, and Embrechts (1993) in a more sophisticated framework. In their model, the speculative dynamics resulting from the interaction between chartists and fundamentalists are incorporated into a Dornbusch-style model to generate a...

Persistent link: https://www.econbiz.de/10005715211

Chaos and order in exchange rates

Russell, Jesse - In: International Journal of Monetary Economics and Finance 2 (2009) 1, pp. 58-70

exchange markets. If exchange rate decisions are made by larger groups of actors, we are more likely to witness greater chaos … and thus variability in exchange rate outcomes. When we recognise that chaos is part of the background reality of exchange …

Persistent link: https://www.econbiz.de/10008538639

An Alternative to the BDS Test: Integration Across The Correlation Integral

Kocenda, Evzen - EconWPA - 2003

This paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing … suggested alternative to the BDS test. The results are favorable for the suggested alternative. …

Persistent link: https://www.econbiz.de/10005119218

Chaos and order in exchange rates

Russell, Jesse - In: International Journal of Monetary Economics and Finance 2 (2009) 1, pp. 58-70

Persistent link: https://www.econbiz.de/10005753744

Exchange Rate Volatility and Regime Change:Visegrad Comparison

Kocenda, Evžen; Valachy, Juraj - 2006

We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for more flexible ones. We account for path dependence, asymmetric shocks, movements in interest rates, and allow for generalized error distribution. The overall findings are that...

Persistent link: https://www.econbiz.de/10009476919

An approximate entropy approach to examine the non-linear dependence in daily Indian exchange rates

Kumar, Manish - In: International Journal of Monetary Economics and Finance 4 (2011) 3, pp. 309-325

statistics to test for non-linearity. The empirical results provide the evidence of strong non-linear dependence in the Indian … been used in the study, is misspecified. The evidence of non-linearity has serious implications for asset pricing, risk …

Persistent link: https://www.econbiz.de/10009352493

Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the …

Persistent link: https://www.econbiz.de/10005769039

Do Currency Fundamentals Matter for Currency Speculators?

Nozaki, Masahiro - International Monetary Fund (IMF) - 2010

The answer seems affirmative. We compare currency carry trades with an investment strategy based on currency fundamentals: taking a long (short) position in undervalued (overvalued) currencies. Carry trades have high risk-adjusted returns, but are subject to "crash risk." In contrast, the...

Persistent link: https://www.econbiz.de/10008519510

A century of PPP: supportive results from nonlinear unit root tests

Bahmani-Oskooee, Mohsen; Kutan, Ali M.; Zhou, Su - In: Global Business and Economics Review 11 (2009) 1, pp. 19-27

In this paper, we test Purchasing Power Parity (PPP) by applying a new unit root test that allows for nonlinearity in …

Persistent link: https://www.econbiz.de/10008538876