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Nonlinearities in East European Black Market Exchange Rates

Research output: Contribution to Journal/MagazineJournal articlepeer-review

<mark>Journal publication date</mark>01/1997
<mark>Journal</mark>International Journal of Finance and Economics
Issue number1
Number of pages19
Pages (from-to)39-57
Publication StatusPublished
<mark>Original language</mark>English


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.