Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Nonlinearities in East European Black Market Exchange Rates
AU - Peel, David
AU - Speight, A.
PY - 1997/1
Y1 - 1997/1
N2 - This paper reports evidence of non-linearities in the black-market exchange returns of the Bulgarian lev, Czechoslovak koruna, Hungarian forint, Polish zloty, Rumanian lei and Soviet ruble. Attempts to characterize that non-linearity using QGARCH and simultaneous BL-QGARCH models prove successful for the forint, zloty and ruble. However, the appropriate representations of non-linearities in the lev, koruna and lei remain unresolved, and a low-order deterministic characterization of the lev cannot be precluded.
AB - This paper reports evidence of non-linearities in the black-market exchange returns of the Bulgarian lev, Czechoslovak koruna, Hungarian forint, Polish zloty, Rumanian lei and Soviet ruble. Attempts to characterize that non-linearity using QGARCH and simultaneous BL-QGARCH models prove successful for the forint, zloty and ruble. However, the appropriate representations of non-linearities in the lev, koruna and lei remain unresolved, and a low-order deterministic characterization of the lev cannot be precluded.
KW - exchange rates
KW - black-markets
KW - non-linearity
KW - bilinearity
KW - quadratic-ARCH
U2 - 10.1002/(SICI)1099-1158(199701)2:1<39::AID-IJFE35>3.0.CO;2-N
DO - 10.1002/(SICI)1099-1158(199701)2:1<39::AID-IJFE35>3.0.CO;2-N
M3 - Journal article
VL - 2
SP - 39
EP - 57
JO - International Journal of Finance and Economics
JF - International Journal of Finance and Economics
SN - 1099-1158
IS - 1
ER -