Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach
The objective of this paper is to test for the existence of both linear and nonlinear causal relationships
|Date of creation:||01 Jan 2014|
|Contact details of provider:|| Postal: 184 Boulevard Saint-Germain, 75006 Paris|
Phone: 33 1 53 63 36 00
Web page: http://www.ipag.fr
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Malcolm Baker & Jeffrey Wurgler, 2006.
"Investor Sentiment and the Cross-Section of Stock Returns,"
Journal of Finance,
American Finance Association, vol. 61(4), pages 1645-1680, August.
- Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
- repec:hrv:faseco:30747159 is not listed on IDEAS
- Haruvy, Ernan & Stahl, Dale O. & Wilson, Paul W., 1999. "Evidence for optimistic and pessimistic behavior in normal-form games," Economics Letters, Elsevier, vol. 63(3), pages 255-259, June.
- Bekiros, Stelios D., 2010. "Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets," European Journal of Operational Research, Elsevier, vol. 202(1), pages 285-293, April.
- Andrew R. Jackson, 2005. "Trade Generation, Reputation, and Sell-Side Analysts," Journal of Finance, American Finance Association, vol. 60(2), pages 673-717, April.
- Shu, Hui-Chu, 2010. "Investor mood and financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 76(2), pages 267-282, November.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
- Crouch, R L, 1970. "A Nonlinear Test of the Random-Walk Hypothesis," American Economic Review, American Economic Association, vol. 60(1), pages 199-202, March.
- Daniel Kahneman, 2003. "A Psychological Perspective on Economics," American Economic Review, American Economic Association, vol. 93(2), pages 162-168, May.
- Kent Daniel & David Hirshleifer & Avanidhar Subrahmanyam, 1998. "Investor Psychology and Security Market Under- and Overreactions," Journal of Finance, American Finance Association, vol. 53(6), pages 1839-1885, December.
- Fabrice Rousseau & Laurent Germain & Fabrice Rousseau & Anne Vanhems, 2008. "Irrational Financial Markets," Economics, Finance and Accounting Department Working Paper Series n1870108.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
- repec:bla:joares:v:36:y:1998:i:2:p:299-320 is not listed on IDEAS
- Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
- De Bondt, Werner F M & Thaler, Richard H, 1987. " Further Evidence on Investor Overreaction and Stock Market Seasonalit y," Journal of Finance, American Finance Association, vol. 42(3), pages 557-581, July.
When requesting a correction, please mention this item's handle: RePEc:ipg:wpaper:2014-182. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ingmar Schumacher)
If references are entirely missing, you can add them using this form.