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dc.contributor.authorWali, Muammer
dc.contributor.authorChan, Felix
dc.contributor.authorManzur, M.
dc.date.accessioned2018-02-06T06:17:04Z
dc.date.available2018-02-06T06:17:04Z
dc.date.created2018-02-06T05:49:44Z
dc.date.issued2017
dc.identifier.citationWali, M. and Chan, F. and Manzur, M. 2017. Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? Journal of Asian Economics. 50: pp. 62-72.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/63399
dc.identifier.doi10.1016/j.asieco.2017.04.002
dc.description.abstract

This paper provides a comparative review of the dynamic characteristics of monthly exchange rate changes for five major currencies relative to those of five emerging Asian economies over the last four decades. Using the British pound sterling as the numeraire currency, the data support nonlinear dependence in exchange rates for the less-liquid Asian currencies, while results for the major currencies are mixed. The more recent data indicate rejection of nonlinear dependence in major currencies.

dc.publisherElsevier
dc.titleNonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?
dc.typeJournal Article
dcterms.source.volume50
dcterms.source.startPage62
dcterms.source.endPage72
dcterms.source.titleJournal of Asian Economics
curtin.departmentSchool of Economics and Finance
curtin.accessStatusFulltext not available


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