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Nonlinearities in East European Black Market Exchange Rates

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Nonlinearities in East European Black Market Exchange Rates. / Peel, David; Speight, A.

In: International Journal of Finance and Economics, Vol. 2, No. 1, 01.1997, p. 39-57.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Peel, D & Speight, A 1997, 'Nonlinearities in East European Black Market Exchange Rates', International Journal of Finance and Economics, vol. 2, no. 1, pp. 39-57. https://doi.org/10.1002/(SICI)1099-1158(199701)2:1<39::AID-IJFE35>3.0.CO;2-N

APA

Vancouver

Peel D, Speight A. Nonlinearities in East European Black Market Exchange Rates. International Journal of Finance and Economics. 1997 Jan;2(1):39-57. doi: 10.1002/(SICI)1099-1158(199701)2:1<39::AID-IJFE35>3.0.CO;2-N

Author

Peel, David ; Speight, A. / Nonlinearities in East European Black Market Exchange Rates. In: International Journal of Finance and Economics. 1997 ; Vol. 2, No. 1. pp. 39-57.

Bibtex

@article{3294d909c3ee42149273b62f60848802,
title = "Nonlinearities in East European Black Market Exchange Rates",
abstract = "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. ",
keywords = "exchange rates, black-markets , non-linearity , bilinearity , quadratic-ARCH",
author = "David Peel and A. Speight",
year = "1997",
month = jan,
doi = "10.1002/(SICI)1099-1158(199701)2:1<39::AID-IJFE35>3.0.CO;2-N",
language = "English",
volume = "2",
pages = "39--57",
journal = "International Journal of Finance and Economics",
issn = "1076-9307",
publisher = "John Wiley and Sons Ltd",
number = "1",

}

RIS

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 - 1076-9307

IS - 1

ER -