Nonlinearities in the exchange rates returns and volatility

Physica A: Statistical Mechanics and its Applications

Volumn 316, Issue 1-4, 2002, Pages 469-482

  Díaz, Andrés Fernández ^a   Grau Carles, Pilar ^b   Mangas, Lorenzo Escot ^a  

^a UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

^b UNIVERSIDAD REY JUAN CARLOS   (Spain)

Author keywords

Exchange rates; Long memory processes; Nonlinearities; Nonstationarities; Volatility

Indexed keywords

COMPUTER SIMULATION; ECONOMICS; FINANCIAL DATA PROCESSING; NONLINEAR SYSTEMS;

EXCHANGE RATES;

FINANCE;

EID: 0037114550     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01203-7     Document Type: Article

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