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Chaos, Arch and the Foreign Exchange Market: Empirical Results from Weekly Data
Peter Kugler,Carlos Lenz +1 more
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This article is published in Research Papers in Economics.The article was published on 1990-06-01 and is currently open access. It has received 22 citations till now. The article focuses on the topics: Foreign exchange market.read more
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ARCH modeling in finance: A review of the theory and empirical evidence
TL;DR: An overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and pricing of derivative assets, are also discussed.
Journal ArticleDOI
Exchange-rate forecasts with simultaneous nearest-neighbour methods: evidence from the EMS
TL;DR: These simultaneous nearest-neighbour (SNN) predictors to allow for information content in a wider set of simultaneous time series are applied to nine EMS currencies, suggesting that the probability of correctly predicting the sign of change is higher for the SNN predictions than the ARIMA case.
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An alternative to the bds test: integration across the correlation integral
TL;DR: In this paper, the authors extend and generalize the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996) to remove the limitation of having to arbitrarily select a proximity parameter by integrating across the correlation integral.
Book ChapterDOI
Nearest-Neighbour Predictions in Foreign Exchange Markets
TL;DR: In this article, the relevance of non-linear predictors of high-frequency data in foreign exchange markets has been discussed, and the performance of univariate and multivariate versions of such predictors is evaluated from a statistical point of view.
Journal ArticleDOI
Optimal Range for the iid Test Based on Integration Across the Correlation Integral
Evžen Kočenda,Ľuboš Briatka +1 more
TL;DR: This paper builds on Kočenda (2001) and extends it in three ways: new intervals of the proximity parameter ϵ are specified, new critical values for various lengths of the data sets are introduced, and through Monte Carlo studies it is shown that within newπ-ranges the test is even more powerful than within the original ϵ-range.
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es modéles ARCH en finance: un point sur la théorie et les résultats empiriques
TL;DR: An overview of some of the developments in the formulations of ARCH models and a survey of numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies and the pricing of derivative assets are also discussed.