Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990
This paper tests the properties of the zloty-dollar exchange rate for the possible presence of unknown non-linearities. It concludes that there is strong evidence for the presence of an underlying non-linear process which is possibly chaotic. A non-linear model which allows for discrete switching between regimes seems to capture most of the non-linear behaviour. Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.
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Volume (Year): 2 (1997)
Issue (Month): 1 (January)
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