The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Testing for Nonlinear Dependence in Daily Foreign Exchange Rates
Abstract
The purpose of this article is to investigate whether daily changes in five major foreign exchange rates contain any nonlinearities. Although the data contain no linear correlation, evidence indicates the presence of substantial nonlinearity in a multiplicative rather than additive form. Further examination reveals that a generalized autoregressive conditional heteroskedasticity model can explain a large part of the nonlinearities for all five exchange rates. Copyright 1989 by the University of Chicago.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
Analysis of Financial Time Series
(2006) · Technometrics · doi:10.1198/tech.2006.s405 · Cited by 2,348
Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures
Kroner, K. F., & Sultan, J. (1993) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2331164 · Cited by 1,524
Chaos and Nonlinear Dynamics: Application to Financial Markets
HSIEH, D. A. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04646.x · Cited by 1,046
Self-citationThe econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Forecasting exchange rates using feedforward and recurrent neural networks
Kuan, C., & Liu, T. (1995) · Journal of Applied Econometrics · doi:10.1002/jae.3950100403 · Cited by 428
Metadata
- Authors
- Hsieh, D. A.
- Venue
- The Journal of Business
- Publisher
- University of Chicago Press
- Published
- 1989-01
- Volume
- 62
- Issue
- 3
- Pages
- 339
- ISSN
- 0021-9398 (ISSN-L)
- 1537-5374
- OpenAlex
- W2082179812
- Cited by
- 665
- References
- 1
- FWCI
- 47.04
- Type
- journal article
- Language
- en
- Open access
- closed
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