Non-Linearities in East European Black-Market Exchange Rates

被引：0

作者：

Peel, David A. ^{[1
]}

Speight, Alan E. H.

机构：

[1] Univ Liverpool, Dept Econ & Accounting, Liverpool L69 7ZA, Merseyside, England

来源：

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 1998年 / 3卷 / 01期

关键词：

exchange rates; black-markets; non-linearity; bilinearity; quadratic-ARCH;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper reports evidence of non-linearities in the black-market exchange returns of the Bulgarian lev, Czechoslovak koruna, Hungarian forint, Polish zloty, Rumanian lei and Soviet ruble. Attempts to characterize that non-linearity using QGARCH and simultaneous BL-QGARCH models prove successful for the forint, zloty and ruble. However, the appropriate representations of non-linearities in the lev, koruna and lei remain unresolved, and a low-order deterministic characterization of the lev cannot be precluded.

引用

页码：39 / 57

页数：19

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