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The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?
Federici, Daniela; Gandolfo, Giancarlo - CESifo - 2011
’ beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity … that gives rise to a jerk differential equation, which is in principle capable of generating chaos. The model is …
Persistent link: https://www.econbiz.de/10009020093
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The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa
Egert, Balazs - CESifo - 2009
This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...
Persistent link: https://www.econbiz.de/10005000381
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Nonlinearities and outliers: robust specification of STAR models
Escribano, A.; Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1998
Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the …
Persistent link: https://www.econbiz.de/10008584751