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Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach

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Abstract

The objective of this paper is to test for the existence of both linear and nonlinear causal relationships

Suggested Citation

  • Stelios Bekiros, 2014. "Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach," Working Papers 2014-182, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-182
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    File URL: http://www.ipag.fr/wp-content/uploads/recherche/WP/IPAG_WP_2014_182.pdf
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    References listed on IDEAS

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    1. 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.
    2. repec:hrv:faseco:30747159 is not listed on IDEAS
    3. 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.
    4. 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.
    5. Andrew R. Jackson, 2005. "Trade Generation, Reputation, and Sell-Side Analysts," Journal of Finance, American Finance Association, vol. 60(2), pages 673-717, April.
    6. Shu, Hui-Chu, 2010. "Investor mood and financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 76(2), pages 267-282, November.
    7. 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.
    8. 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.
    9. Daniel Kahneman, 2003. "A Psychological Perspective on Economics," American Economic Review, American Economic Association, vol. 93(2), pages 162-168, May.
    10. 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.
    11. 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.
    12. repec:bla:joares:v:36:y:1998:i:2:p:299-320 is not listed on IDEAS
    13. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
    14. 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.
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    Cited by:

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    4. repec:ipg:wpaper:2014-530 is not listed on IDEAS
    5. repec:ipg:wpaper:2014-559 is not listed on IDEAS
    6. repec:ipg:wpaper:2014-526 is not listed on IDEAS
    7. repec:ipg:wpaper:2014-534 is not listed on IDEAS
    8. repec:ipg:wpaper:2014-551 is not listed on IDEAS
    9. repec:ipg:wpaper:2014-571 is not listed on IDEAS

    More about this item

    Keywords

    nonlinear filtering; multivariate GARCH; spillovers;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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