PREDICTION AND VOLATILITY OF BLACK MARKET CURRENCIES: EVIDENCE FROM RENMINBI AND RIAL EXCHANGE RATES

DOI10.1142/S0219024902001638zbMath1107.91347MaRDI QIDQ3022071

Liangyue Cao, Abdol S. Soofi

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

volatilitynonlinear predictiontime-delay embeddingrenminbi/US dollar exchange rate

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items

Error covariance matrix estimation of noisy and dynamically coupled time series, Measuring the Complexity of Currency Markets by Fractal Dimension Analysis, Predicting daily exchange rate with singular spectrum analysis

Cites Work

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