Exchange rate instability: Some empirical tests of temporal dynamics

Applied Economics Letters

Volumn 4, Issue 9, 1997, Pages 547-550

  Sengupta, Jati K ^a   Sfeir, Raymond E ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b CHAPMAN UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EXCHANGE RATE; METHODOLOGY;

EID: 0031410023     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048597354998     Document Type: Article

References (9)

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3. Creedy, J. and Martin, V.L. (eds) (1994) Chaos and Nonlinear Models in Economics, Elgar Publishing, Brookfield, Vermont.
4. Dornbusch, R. (1976) Expectations and exchange rate dynamics, Journal of Political Economy, 84, 1161-76.
5. Hsieh, D.A. (1991) Chaos and nonlinear dynamics: application to financial markets, Journal of Finance, 46, 1839-77.
6. LeBaron, B. (1994) Chaos and nonlinear forecastability in economics and finance, Working Paper of the Social Systems Research Institute, University of Wisconsin, Madison.
7. Lorenz, E. (1963) Deterministic nonperiodic flow, Journal of the Atmospheric Sciences, 20, 130-41.
8. Meese, R.A. and Rogoff, K. (1983) The out-of-sample failure of empirical exchange rate models: sampling error or misspecification, in Exchange Rates and International Macroeconomics (ed.) J.A. Frenkel, University of Chicago Press, Chicago.
9. Sengupta, J.K. and Zheng, Y. (1995) Empirical tests of chaotic dynamics in market volatility, Applied Financial Economics, 5, 291-300.