Emekter, Riza; Jirasakuldech, Benjamas; Snaith, Sean M. - In: Journal of Multinational Financial Management 19 (2009) 3, pp. 179-192
This paper examines the nonlinear dynamic behaviors in foreign exchange excess returns of eight currencies. We applied the BDS test and two other nonlinear statistical techniques, the Markov chain, and time reversibility tests to characterize the exchange rate returns dynamics. The results from...