Episodic nonlinearity in leading global currencies

DOI10.1007/s11079-010-9194-9zbMath1418.91376OpenAlexW2004770921MaRDI QIDQ2316902

Periklis Gogas, Melvin J. Hinich, Anastasios G. Malliaris, Apostolos Serletis

Publication date: 7 August 2019

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: https://ecommons.luc.edu/business_facpubs/93

zbMATH Keywords

conditional heteroskedasticitycurrenciesepisodic nonlinearityglobal financial markets

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

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• Generalized autoregressive conditional heteroscedasticity
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Testing for dependence in the input to a linear time series model
• Time Series Regression with a Unit Root

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