Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download On The Detection Of Nonlinearity In Foreign Exchange Data full books in PDF, epub, and Kindle. Read online On The Detection Of Nonlinearity In Foreign Exchange Data ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Paolo Guarda
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.F/5 ( download)
Download or read book On the Detection of Nonlinearity in Foreign Exchange Data written by Paolo Guarda and published by . This book was released on 1995 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William A. Barnett
Publisher : Cambridge University Press
ISBN 13 : 9780521471411
Total Pages : 426 pages
Book Rating : 4.4/5 (714 download)
Download or read book Nonlinear Dynamics and Economics written by William A. Barnett and published by Cambridge University Press. This book was released on 1996-10-28 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 1997 book presents developments in nonlinear economic dynamics along with related research from other fields, including mathematics, statistics, biology, and physics.
Author : Lucio Sarno
Publisher : International Monetary Fund
ISBN 13 : 1451853491
Total Pages : 40 pages
Book Rating : 4.4/5 (518 download)
Download or read book Nonlinear Exchange Rate Models written by Lucio Sarno and published by International Monetary Fund. This book was released on 2003-05-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal exchange rate can beat a random walk model, the standard benchmark in the exchange rate literature, in terms of out-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear) exchange rate models are discussed with reference to different forecast accuracy criteria.
Author : R. Becker
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (248 download)
Download or read book Identifying and Modelling Nonlinearities in Australian Foreign Exchange Rate Data by Means of Flexible Nonlinear Inference written by R. Becker and published by . This book was released on 1999 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Benzhou Wang
Publisher :
ISBN 13 :
Total Pages : 674 pages
Book Rating : 4.:/5 (339 download)
Download or read book Exploring Existence of Nonlinearity and Chaotic Behavior in Foreign Exchange Rate Systems written by Benzhou Wang and published by . This book was released on 1995 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Arthur Hsieh
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (753 download)
Download or read book Testing for Nonlinear Dependence in Daily Foreign Exchange Rate Changes written by David Arthur Hsieh and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William A. Brock
Publisher : MIT Press
ISBN 13 : 9780262023290
Total Pages : 362 pages
Book Rating : 4.0/5 (232 download)
Download or read book Nonlinear Dynamics, Chaos, and Instability written by William A. Brock and published by MIT Press. This book was released on 1991 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brock, Hsieh, and LeBaron show how the principles of chaos theory can be applied to such areas of economics and finance as the changing structure of stock returns and nonlinearity in foreign exchange.
Author : David Hsieh
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (287 download)
Download or read book Testing for Nonlinear Dependence in Daily Foreign Exchange Rate Changes written by David Hsieh and published by . This book was released on 1988 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Ullrich
Publisher : Springer Science & Business Media
ISBN 13 : 3642004954
Total Pages : 206 pages
Book Rating : 4.6/5 (42 download)
Download or read book Forecasting and Hedging in the Foreign Exchange Markets written by Christian Ullrich and published by Springer Science & Business Media. This book was released on 2009-05-30 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Historical and recent developments at international ?nancial markets show that it is easy to loose money, while it is dif?cult to predict future developments and op- mize decision-making towards maximizing returns and minimizing risk. One of the reasons of our inability to make reliable predictions and to make optimal decisions is the growing complexity of the global economy. This is especially true for the f- eign exchange market (FX market) which is considered as one of the largest and most liquid ?nancial markets. Its grade of ef?ciencyand its complexityis one of the starting points of this volume. From the high complexity of the FX market, Christian Ullrich deduces the - cessity to use tools from machine learning and arti?cial intelligence, e.g., support vector machines, and to combine such methods with sophisticated ?nancial mod- ing techniques. The suitability of this combination of ideas is demonstrated by an empirical study and by simulation. I am pleased to introduce this book to its - dience, hoping that it will provide the reader with interesting ideas to support the understanding of FX markets and to help to improve risk management in dif?cult times. Moreover, I hope that its publication will stimulate further research to contribute to the solution of the many open questions in this area.
Author : Stefan Reitz
Publisher :
ISBN 13 : 9783865581259
Total Pages : 43 pages
Book Rating : 4.5/5 (812 download)
Download or read book The Coordination Channel of Foreign Exchange Intervention written by Stefan Reitz and published by . This book was released on 2006 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wan Mansor Mahmood
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing for Non-Linearity in the Foreign Currency Futures Market written by Wan Mansor Mahmood and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, the issue of nonlinearity in foreign currency futures markets is examined. Daily returns are found to be linear independent but nonlinear dependent. That is, they are correlated through their second moment. However, when the BDS test is applied, the results are inconclusive as the null hypothesis of i.i.d is not rejected in some cases but rejected in others. This rejection of i.i.d in the returns and filtered returns series arises solely from the variance of the process as suggested by the third moment test. As such, GARCH(1,1) models are fitted to all the return series and the corresponding standardized residuals are tested for i.i.d behavior. It is shown that the model brings about some improvement in that nonlinear dependence in the return series is reduced considerably.
Author : Betty Prince
Publisher :
ISBN 13 :
Total Pages : 518 pages
Book Rating : 4.:/5 (22 download)
Download or read book An investigation of modeling foreign exchange rates with a non-linear chaotic attractor algorithm written by Betty Prince and published by . This book was released on 1987 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stefan Reitz
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Coordination Channel of Foreign Exchange Intervention written by Stefan Reitz and published by . This book was released on 2016 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: The coordination channel has been proposed as a means by which foreign.
Author : Yongmiao Hong
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
Download or read book Inferences on Predictability of Foreign Exchange Rates Via Generalized Spectrum and Nonlinear Models written by Yongmiao Hong and published by . This book was released on 2002 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is often documented, based on autocorrelation, variance ratio and power spectrum, that exchange rates approximately follow a martingale process. Because autocorrelation, variance ratio and spectrum check serial uncorrelatedness rather than martingale difference, they may deliver misleading conclusions in favor of the martingale hypothesis when the test statistics are insignificant. In this paper, we explore whether there exists a gap between serial uncorrelatedness and martingale difference for exchange rate changes, and if so, whether nonlinear time series models admissible in the gap can outperform the martingale model in out-of-sample forecasts. Applying the generalized spectral tests of Hong (1999) to five major exchange rates, we find that the changes of exchange rates are often serially uncorrelated, but there exists strong nonlinearity in conditional mean, in addition to the well-known volatility clustering. To forecast the conditional mean, we consider the linear autoregressive, autoregressive polynomial, artificial neural network and functional-coefficient models, as well as their combination. The functional coefficient model allows the autoregressive coefficients to depend on investment positions via an moving average technical trading rule. We evaluate out-of-sample forecasts of these models relative to the martingale model, using four criteria-the mean squared forecast error, the mean absolute forecast error, the mean forecast trading return, and the mean correct forecast direction. White's (2000) reality check method is used to avoid data-snooping bias. It is found that some nonlinear models, particularly their combination, do have superior predictive ability over the martingale model for some currencies in terms of certain forecast evaluation criteria.
Author : Charles Goodhart
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (129 download)
Download or read book In the foreign exchange market characterized by nonlinearity ? written by Charles Goodhart and published by . This book was released on 1991 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Laura E. Kodres
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.3/5 ( download)
Download or read book Nonlinear Dynamics in the Foreign Exchange Futures Market written by Laura E. Kodres and published by . This book was released on 1991 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gagari Chakrabarti
Publisher : Springer Science & Business Media
ISBN 13 : 813220462X
Total Pages : 69 pages
Book Rating : 4.1/5 (322 download)
Download or read book Anatomy of Global Stock Market Crashes written by Gagari Chakrabarti and published by Springer Science & Business Media. This book was released on 2012-01-05 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.
