Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates
This study investigates the presence of neglected nonlinearity in weekly exchange rates of five countries in terms of Australian dollar. Three prominent nonlinear models from the ARCH family, such as the EGARCH, GARCH-M and EGARCH-M are fitted to the first differenced log of exchange rate series....
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| Format: | Journal Article |
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Academic Research Council
2011
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| Online Access: | http://econpapers.repec.org/article/bapjournl/110306.htm http://hdl.handle.net/20.500.11937/57653 |