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  • 标题:Nonlinear Dependencies And Chaos In The Bilateral Exchange Rate Of The Dollar
  • 本地全文:下载
  • 作者:Bahram Adrangi ; Mary Allender Allender ; Arjun Chatrath
  • 期刊名称:International Business & Economics Research Journal
  • 印刷版ISSN:1535-0754
  • 电子版ISSN:2157-9393
  • 出版年度:2010
  • 卷号:9
  • 期号:3
  • 语种:English
  • 出版社:The Clute Institute for Academic Research
  • 摘要:Employing the daily bilateral exchange rate of the dollar against the Canadian dollar, the Swiss franc and the Japanese yen, we conduct a battery of tests for the presence of low-dimension chaos. The three stationary series are subjected to Correlation Dimension tests, BDS tests, and tests for entropy. While we find strong evidence of nonlinear dependence in the data, the evidence is not consistent with chaos. Our test results indicate that GARCH-type processes explain the nonlinearities in the data. We also show that employing seasonally adjusted index series enhances the robustness of results via the existing tests for chaotic structure.
  • 关键词:Bilateral exchange rate of the dollar;low-dimension chaos;GARCH type processes
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