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Nonlinearity in Exchange Rates and Forecasting

Moshiri, Saeed; Seifi, Forough - In: Iranian Economic Review 13 (2008) 1, pp. 83-105

and forecast. In this paper, a series of tests for nonlinearity and chaos in exchange rates is conducted using the daily … data on the market rates in Iran for the period 1991-2005. The tests for nonlinearity are BDS and ANN tests, and the tests … for chaos are autocorrelation and Lyapunov exponents. The tests results suggest that the exchange rates and their rates of …

Persistent link: https://www.econbiz.de/10010695806

The Euro/Dollar exchange rate : chaotic or non-chaotic? : a continuous time model with heterogeneous beliefs

Federici, Daniela; Gandolfo, Giancarlo - In: Journal of economic dynamics & control 36 (2012) 4, pp. 670-681

Persistent link: https://www.econbiz.de/10009554322

The Tobin tax in a continuous-time non-linear dynamic model of the exchange rate

Gandolfo, Giancarlo - In: Cambridge journal of economics 39 (2015) 6, pp. 1629-1643

Persistent link: https://www.econbiz.de/10011416029

The efficacy of intervention in a chaotic foreign exchange market : an empirical study in INR-USD exchange rate series

Sen, Chitrakalpa; Chakrabarti, Gagari - In: Decision 41 (2014) 4, pp. 399-410

Persistent link: https://www.econbiz.de/10010483861

Are BRICS exchange rates chaotic?

Plakandaras, Vasilios; Gupta, Rangan; Gil-Alaña, Luis A.; … - In: Applied economics letters 26 (2019) 13, pp. 1104-1110

Persistent link: https://www.econbiz.de/10012204554

The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs

Federici, Daniela; Gandolfo, Giancarlo - In: Journal of Economic Dynamics and Control 36 (2012) 4, pp. 670-681

' 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/10010573989

The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?

Federici, Daniela; Gandolfo, Giancarlo - Institut for Miljø og Erhvervsøkonomi, Syddansk … - 2011

Persistent link: https://www.econbiz.de/10011123948

Nonlinearity and time-variation in the monetary model of exchange rates

Junttila, Juha; Korhonen, Marko - In: Journal of macroeconomics 33 (2011) 2, pp. 288-302

Persistent link: https://www.econbiz.de/10009248399

Carry trades, momentum trading and the forward premium anomaly

Baillie, Richard; Chang, Sanders S. - In: Journal of financial markets 14 (2011) 3, pp. 441-464

Persistent link: https://www.econbiz.de/10009261760

Forecasting major Asian exchange rates using a new semiparametric STAR model

Cai, Nan; Cai, Zongwu; Fang, Ying; Xu, Qiuhua - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 407-426

Persistent link: https://www.econbiz.de/10011287504