Accessibility navigation


Testing for non-linearity in daily sterling exchange rates

Brooks, C. (1996) Testing for non-linearity in daily sterling exchange rates. Applied Financial Economics, 6 (4). pp. 307-317. ISSN 0960-3107

[img]
Preview
Text - Accepted Version
· Please see our End User Agreement before downloading.

368kB

To link to this item DOI: 10.1080/096031096334105

Abstract/Summary

A number of tests for non-linear dependence in time series are presented and implemented on a set of 10 daily sterling exchange rates covering the entire post Bretton-Woods era until the present day. Irrefutable evidence of non-linearity is shown in many of the series, but most of this dependence can apparently be explained by reference to the GARCH family of models. It is suggested that the literature in this area has reached an impasse, with the presence of ARCH effects clearly demonstrated in a large number of papers, but with the tests for non-linearity which are currently available being unable to classify any additional non-linear structure.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35992
Publisher:Taylor and Francis

Downloads

Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation