Nonlinearities in the exchange rates returns and volatility

DOI10.1016/S0378-4371(02)01203-7zbMath1001.91067MaRDI QIDQ1847467

Lorenzo Escot Mangas, Pilar Grau-Carles, Andrés Fernández Díaz

Publication date: 26 November 2002

Published in: Physica A (Search for Journal in Brave)

zbMATH Keywords

BDS testARFIMA modelingKaplan test

Mathematics Subject Classification ID

Trade models (91B60)

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Uses Software

• ARFIMA

Cites Work

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• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• A single-blind controlled competition among tests for nonlinearity and chaos
• A test for independence based on the correlation dimension

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