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dc.contributor.authorSadique, Shibley
dc.identifier.citationSadique, S. 2011. Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates. Review of Economics and Finance. 1: pp. 77-88.

This study investigates the presence of neglected nonlinearity in weekly exchange rates of five countries in terms of Australian dollar. Three prominent nonlinear models from the ARCH family, such as the EGARCH, GARCH-M and EGARCH-M are fitted to the first differenced log of exchange rate series. The logs of the squared standardized residuals from the fitted models are tested for any leftover nonlinear structure using the BDS test. The nature of the leftover nonlinear dependence is identified using the Odd Product Moment Test of Hsieh (1991). Overall, the empirical evidence obtained in this study support the claim that the ARCH-type models cannot capture all the nonlinearities in financial asset returns.

dc.publisherAcademic Research Council
dc.subjectNeglected nonlinearity
dc.subjectARCH-type models
dc.subjectExchange rates
dc.titleTesting for Neglected Nonlinearity in Weekly Foreign Exchange Rates
dc.typeJournal Article
dcterms.source.titleReview of Economics and Finance
curtin.departmentCurtin Malaysia
curtin.accessStatusFulltext not available

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