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Cross-correlations and cross-bicorrelations in Sterling exchange rates

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  • Brooks, Chris
  • Hinich, Melvin J.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 6 (1999)
Issue (Month): 4 (October)
Pages: 385-404

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Handle: RePEc:eee:empfin:v:6:y:1999:i:4:p:385-404

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Web page: http://www.elsevier.com/locate/jempfin

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References

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  1. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July.
  2. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July.
  3. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.
  4. Brock, W. A., 1986. "Distinguishing random and deterministic systems: Abridged version," Journal of Economic Theory, Elsevier, vol. 40(1), pages 168-195, October.
  5. Ramsey, J.B. & Sayers, C.L. & Rothman, P., 1988. "The Statistical Properties Of Dimension Calculations Using Small Data Sets: Some Economic Applications," Papers 15, Houston - Department of Economics.
  6. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July.
  7. Perry, Philip R., 1985. "Portfolio Serial Correlation and Nonsynchronous Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(04), pages 517-523, December.
  8. Ramsey, James B. & Zhang, Zhifeng, 1997. "The analysis of foreign exchange data using waveform dictionaries," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 341-372, December.
  9. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-80, October.
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Cited by:
  1. Coronado Ramírez Semei Leopoldo & Porras Serrano Jesús & Sandoval Bravo Salvador, 2013. "Aplicación de bicorrelación cruzada al rendimiento diario del precio del café," Contaduría y Administración:Revista Internacional, Accounting and Management: International Journal, vol. 58(1), pages 117-129, enero-mar.
  2. Brooks, Chris & Persand, Gita, 2001. "The trading profitability of forecasts of the gilt-equity yield ratio," International Journal of Forecasting, Elsevier, vol. 17(1), pages 11-29.
  3. Belongia, Michael & Hinich, Melvin, 2009. "The evolving role and definition of the federal funds rate in the conduct of U.S. monetary policy," MPRA Paper 18970, University Library of Munich, Germany, revised Aug 2009.
  4. Kühl, Michael, 2009. "Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates," Center for European, Governance and Economic Development Research Discussion Papers 89, University of Goettingen, Department of Economics.
  5. Serletis, Apostolos & Malliaris, Anastasios & Hinich, Melvin & Gogas, Periklis, 2010. "Episodic Nonlinearity in Leading Global Currencies," DUTH Research Papers in Economics 3-2010, Democritus University of Thrace, Department of Economics.
  6. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile.
  7. Rodrigo F. Aranda L. & Patricio Jaramillo G., 2010. "Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(3), pages 67-94, December.
  8. Manuel A. Dominguez & Ignacio N. Lobato, 2001. "A Consistent Test for the Martingale Difference Hypothesis," Working Papers 0101, Centro de Investigacion Economica, ITAM.
  9. Kian-Ping Lim & Venus Khim-Sen Liew & Hock-Tsen Wong, 2003. "Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange," Finance 0312012, EconWPA.
  10. Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003. "Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets," Finance 0308001, EconWPA.
  11. Ignacio N. Lobato, 2000. "A Consistent Test for the Martingale Difference Assumption," Econometric Society World Congress 2000 Contributed Papers 0278, Econometric Society.
  12. Kühl, Michael, 2009. "Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates," Center for European, Governance and Economic Development Research Discussion Papers 89, University of Goettingen, Department of Economics.

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