Nonlinearities in the exchange rates returns and volatility

被引：8
|
作者：
Díaz, AF
Grau-Carles, P [1 ]
Escot, L
机构：
[1] Univ Rey Juan Carlos, Dept Econ, Paseo Artilleros S-N, Madrid 28032, Spain
[2] Univ Complutense Madrid, Dept Appl Econ, Madrid 28023, Spain
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2002年 / 316卷 / 1-4期
关键词：
exchange rates; volatility; nonlinearities; nonstationarities; long-memory processes;
D O I：
10.1016/S0378-4371(02)01203-7
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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 (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：469 / 482
页数：14
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