Non-linearities in East European Black-Market Exchange Rates
AbstractThis paper reports evidence of non-linearities in the black-market exchange returns of the Bulgarian lev, Czechoslovak koruna, Hungarian forint, Polish zloty, Rumanian lei, and Soviet ruble. Attempts to characterize that non-linearity using QGARCH and simultaneous BL-QGARCH models prove successful for the forint, zloty and ruble. However, the appropriate representations of non-linearities in the lev, koruna and lei remain unresolved, and a low-order deterministic characterization of the lev cannot be precluded. Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 2 (1997)
Issue (Month): 1 (January)
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Web page: http://www.interscience.wiley.com/jpages/1076-9307/
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