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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
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
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
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
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/10005753744
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
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
This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the …
Persistent link: https://www.econbiz.de/10005769039
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
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