Peel, David and Speight, A. (1997) Nonlinearities in East European Black Market Exchange Rates. International Journal of Finance and Economics, 2 (1). pp. 39-57. ISSN 1099-1158Full text not available from this repository.
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.
|Journal or Publication Title:||International Journal of Finance and Economics|
|Uncontrolled Keywords:||exchange rates ; black-markets ; non-linearity ; bilinearity ; quadratic-ARCH|
|Subjects:||H Social Sciences > HB Economic Theory|
|Departments:||Lancaster University Management School > Economics|
|Deposited On:||31 Jul 2012 11:20|
|Last Modified:||13 Jan 2016 14:33|
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