Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach

Stelios Bekiros
Authors registered in the RePEc Author Service: Naceur Khraief

No 2014-182, Working Papers from Department of Research, Ipag Business School

Abstract: The objective of this paper is to test for the existence of both linear and nonlinear causal relationships

Keywords: nonlinear filtering; multivariate GARCH; spillovers (search for similar items in EconPapers)
JEL-codes: C14 C51 F31 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2014-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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