Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70303
Authors: 
Crespo Cuaresma, Jesús
Year of Publication: 
1998
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 60
Abstract: 
The classical theory about foreign exchange rate explains its fluctuations as the resulting of a random walk motion. In this paper, such a theory is put into question by performing Brock, Dechert and Scheinkman's (1987) test on the Austrian Schilling - US Dollars exchange rate for the period 1971-1998, giving us strong evidence of nonlinearities in its behaviour. By further analysing, features such as the correlation dimension will be estimated in order to better understand the characteristics of the underlying process.
Subjects: 
chaos
BDS test
correlation dimension
exchange rate
JEL: 
C14
C49
F31
Document Type: 
Working Paper

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