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Titolo:
A non-linear analysis of excess foreign exchange returns
Autore:
Coakley, J; Fuertes, AM;
Indirizzi:
Univ Essex, Colchester CO4 3SQ, Essex, England Univ Essex Colchester Essex England CO4 3SQ ester CO4 3SQ, Essex, England
Titolo Testata:
MANCHESTER SCHOOL
fascicolo: 6, volume: 69, anno: 2001,
pagine: 623 - 642
SICI:
1463-6786(200112)69:6<623:ANAOEF>2.0.ZU;2-Z
Fonte:
ISI
Lingua:
ENG
Soggetto:
TIME-SERIES MODELS; LONG-MEMORY; NONLINEARITY; TESTS; MARKETS; NOISE; SPOT; RISK; COINTEGRATION; CURRENCY;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Social & Behavioral Sciences
Citazioni:
52
Recensione:
Indirizzi per estratti:
Indirizzo: Coakley, J Univ Essex, Colchester CO4 3SQ, Essex, England Univ Essex Colchester Essex England CO4 3SQ SQ, Essex, England
Citazione:
J. Coakley e A.M. Fuertes, "A non-linear analysis of excess foreign exchange returns", MANCH SCH, 69(6), 2001, pp. 623-642

Abstract

In this paper we explore the dynamics of US dollar excess foreign exchangereturns for the G10 currencies and the Swiss franc, 1976-97. The non-linear framework adopted is justified by the results of linearity tests and a parametric bootstrap likelihood ratio statistic which indicate threshold effects or differential adjustment to small and large excess returns. Impulse response analysis suggests that the effect of small shocks to excess returnsinside the no-arbitrage band exhibits most persistence. Large shocks outside the band decay most rapidly and also exhibit overshooting. These phenomena are explained in terms of noise trading strategies and transaction costs.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 22/01/20 alle ore 12:31:26