28
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Nonlinear dependence in British pound exchange rates

Pages 631-633 | Received 05 Nov 1996, Published online: 02 Nov 2006
 

Abstract

The Brock, Dechert and Scheinkman (1987) method is used to test for nonlinear dependence in daily rates of change of the exchange rate of the British pound relative to seven most heavily traded currencies against the pound during the period 2 January 1993 to 7 October 1996. The currencies are the US dollar, the Deutsche mark, the French franc, the Swiss franc, the Canadian dollar, the Japanese yen and the Italian lira. The results suggest that nonlinear dependence exists in all seven British pound exchange rates. Except for the US dollar, nonlinear dependence is due to nonlinearity in the variance and is captured by a GARCH(l,l)-t model. For the US dollar, nonlinear dependence is due to nonlinearity both in the mean and the variance and is captured by a GARCH-in-mean (GARCH-M) model.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.