Peel, David A; Speight, Alan E H - In: International Journal of Finance & Economics 2 (1997) 1, pp. 39-57
This paper reports evidence of non-linearities in the black-market exchange returns of the Bulgarian lev, Czechoslovak koruna, Hungarian forint, Polish zloty, Rumanian lei, and Soviet ruble. Attempts to characterize that non-linearity using QGARCH and simultaneous BL-QGARCH models prove...