Abstract: This paper presents some empirical
evidences on the presence of nonlinearity of exchange rates of six
emerging markets by using Brock-Dechert-Scheinkman (BDS) test and
Volterra-Wiener-Korenberg (VWK) model, respectively. The nonlinear
dependences are found in the exchange rates of six emerging markets.
Furthermore, this paper applies the VWK model with surrogate data
method to detect if their nonlinear dependences are deterministic or
not. The results show that the above exchange rates are
deterministic and nonlinear time series. These imply that the
exchange rate markets do not conform to the requirements of the
random walk hypothesis. Therefore, the nonlinear dynamic model
should be used to analyze the exchange rates.
LEI Qiang (雷 强), PAN Ying-li (潘英丽)
. Nonlinear Analyses of Exchange Rates of Six Emerging Markets[J]. Journal of Shanghai Jiaotong University(Science), 2012
, 17(1)
: 108
-113
.
DOI: 10.1007/s12204-012-1236-6
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