Nonlinearities in the exchange rates returns and volatility

Andrés Fernández Dı́az, Pilar Grau-Carles and Lorenzo Escot

Physica A: Statistical Mechanics and its Applications, 2002, vol. 316, issue 1, 469-482

Abstract: Recent findings of nonlinearities in financial assets can be the product of contamination produced by shifts in the distribution of the data. Using the BDS and Kaplan tests it is shown that, some of the nonlinearities found in foreign exchange rate returns, can be the product of shifts in variance while other do not. Also, the behavior of the volatility is studied, showing that the ARFIMA modeling is able to capture long memory, but, depending on the proxy used for the volatility, is not always able to capture all the nonlinearities of the data

Keywords: Exchange rates; Volatility; Nonlinearities; Nonstationarities; Long-memory processes (search for similar items in EconPapers)
Date: 2002
References: View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437102012037
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:316:y:2002:i:1:p:469-482

DOI: 10.1016/S0378-4371(02)01203-7

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().