- Tytuł:
- Market efficiency and non-linear dependence in the Czech crown/US dollar foreign exchange market
- Autorzy:
-
Chappell, David
Eldridge, Robert - Powiązania:
- https://bibliotekanauki.pl/articles/729822.pdf
- Data publikacji:
- 2002
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
foreign exchange markets
market efficiency
time series analysis
GARCH models - Opis:
- We examine the Czech Crown/US Dollar exchange rate for evidence of market efficiency during the period May, 1997, to September, 1998. The Czech Crown was floated on the world's foreign exchange markets in May, 1997, and it is of interest to examine the behaviour of this new market. We show that this foreign exchange market satisfied the criteria for weak form efficiency during the first part of the period under investigation but there is evidence of non-linear dependence during the second part of the period. This is successfully modelled using a GARCH-M(1,1) representation.
- Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2002, 22, 1-2; 27-35
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł