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Episodic Nonstationarity in Exchange Rates

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Author Info
Brooks, Christopher
Hinich, Melvin J

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Abstract

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 5 (1998)
Issue (Month): 11 (November)
Pages: 719-22
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Handle: RePEc:taf:apeclt:v:5:y:1998:i:11:p:719-22

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  1. Kian-Ping Lim & Melvin J. Hinich, 2005. "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, Economics Bulletin, vol. 7(1), pages 1-6. [Downloadable!]
  2. Phillip Wild & Melvin J. Hinich & John Foster, 2008. "Are Daily and Weekly Load and Spot Price Dynamics in Australia’s National Electricity Market Governed by Episodic Nonlinearity?," Discussion Papers Series 368, School of Economics, University of Queensland, Australia. [Downloadable!]
  3. Kian-Ping Lim & Melvin J. Hinich, 2005. "Non-linear Market Behavior: Events Detection in the Malaysian Stock Market," Economics Bulletin, Economics Bulletin, vol. 7(6), pages 1-5. [Downloadable!]
  4. K.P. Lim & M.J. Hinich & K.S. Liew, 2003. "GARCH Diagnosis with Portmanteau Bicorrelation Test: An Application on the Malaysia's Stock Market," Finance 0307013, EconWPA. [Downloadable!]
  5. 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. [Downloadable!]
  6. Phillip Wild & Melvin J. Hinich & John Foster, 2008. "The Use of Trimming to Improve the Performance of Tests for Nonlinear Serial Dependence with Application to the Australian National Electricity Market," Discussion Papers Series 367, School of Economics, University of Queensland, Australia. [Downloadable!]
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