Cross-correlations and cross-bicorrelations in Sterling exchange rates

Journal of Empirical Finance - Tập 6 - Trang 385-404 - 1999
Chris Brooks1, Melvin J Hinich2
1ISMA Centre, The University of Reading, P.O. Box 242, Whiteknights, Reading RG6 6BA, UK
2University of Texas at Austin, Austin, TX, USA

Tài liệu tham khảo

Baek, 1992, A nonparameteric test for independence of a multivariate time series, Statistica Sinica, 2, 137 Baillie, 1989, The message in daily exchange rates: A conditional-variance tale, Journal of Business and Economic Statistics, 7, 297, 10.2307/1391527 Boudoukh, 1994, A tale of three schools: Insights on short-horizon stock returns, The Review of Financial Studies, 7, 539, 10.1093/rfs/7.3.539 Brillinger, D., 1975. Time Series, Data Analysis and Theory. Holt, Rinehard and Winston, New York. Brock, 1986, Distinguishing random and deterministic systems: Abridged version, Journal of Economic Theory, 40, 168, 10.1016/0022-0531(86)90014-1 Brock, W.A., Dechert, W.D., Scheinkman, J.A., 1987. A test for independence based on the correlation dimension, Mimeo. Department of Economics, University of Wisconsin at Madison, and University of Houston. Brock, W.A., Hsieh, D.A., LeBaron, B., 1991. Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence. MIT Press, Reading, MA. Brock, 1996, A test for independence based on the correlation dimension, Econometric Reviews, 15, 197, 10.1080/07474939608800353 Brooks, 1996, Testing for nonlinearities in daily sterling exchange rates, Applied Financial Economics, 6, 307, 10.1080/096031096334105 Brooks, 1998, Forecasting stock return volatility: Does volume help?, Journal of Forecasting, 17, 59, 10.1002/(SICI)1099-131X(199801)17:1<59::AID-FOR676>3.3.CO;2-8 Brooks, C., Hinich, M.J., 1998. Forecasting High Frequency Exchange Rates Using Cross Bicorrelations, forthcoming as Proceedings of Computational Finance Conference, London Business School. Cecen, 1996, Distinguishing between stochastic and deterministic behaviour in foreign exchange rate returns: Further evidence, Economics Letters, 51, 323, 10.1016/0165-1765(96)00819-1 Cecen, 1996, Distinguishing between stochastic and deterministic behaviour in high frequency foreign exchange rate returns: Can nonlinear dynamics help forecasting, International Journal of Forecasting, 12, 465, 10.1016/S0169-2070(96)00686-3 Chelley-Steeley, 1995, Conditional volatility and firm size: An empirical analysis of UK equity portfolios, Applied Financial Economics, 5, 433, 10.1080/758538603 Cohen, K. et al., 1986. The Microstructure of Securities Markets. Prentice-Hall, Englewood Cliffs, NJ. Engle, 1993, Testing for common features, Journal of Business and Economic Statistics, 11, 369, 10.2307/1391623 Fisher, 1966, Some new stock market indices, Journal of Business, 39, 191, 10.1086/294848 Gallant, 1993, Nonlinear dynamic structures, Econometrica, 61, 871, 10.2307/2951766 Hiemstra, 1994, Testing for linear and nonlinear granger causality in the stock price–volume relation, Journal of Finance, 49, 1639, 10.2307/2329266 Hinich, 1982, Testing for gaussianity and linearity of a stationary time series, Journal of Time Series Analysis, 3, 169, 10.1111/j.1467-9892.1982.tb00339.x Hinich, 1996, Testing for dependence in the input to a linear time series model, Journal of Nonparametric Statistics, 6, 205, 10.1080/10485259608832672 Hsieh, 1989, Testing for nonlinear dependence in daily foreign exchange rates, Journal of Business, 62, 339, 10.1086/296466 Hsieh, 1989, Modelling heteroscedasticity in daily foreign exchange rates, Journal of Business and Economic Statistics, 7, 307, 10.2307/1391528 Karolyi, 1996, Why do markets move together? An investigation of US–Japan stock return comovements, Journal of Finance, 51, 951, 10.2307/2329228 LeBaron, B., 1993. Nonlinear diagnostics and simple trading rules for high frequency foreign exchange rates. In: Weigend, A.S., Gershenfeld, N.A. (Eds.), Time Series Prediction: Forecasting the Future and Understanding the Past SFI Studies in the Sciences of Complexity, Proceedings, Vol. 15. Addison Wesley, Reading, MA, pp. 457–474. Leonov, 1959, On a method of calculation of semi-invariants, Theory of Probability and its Applications, 4, 319, 10.1137/1104031 Nachane, 1993, Modelling exchange rate dynamics: New perspectives from the frequency domain, Journal of Forecasting, 12, 379, 10.1002/for.3980120502 Perry, 1985, Portfolio serial correlation and nonsynchronous trading, Journal of Financial and Quantitative Analysis, 20, 517, 10.2307/2330765 Ramsey, 1997, The analysis of foreign exchange data using waveform dictionaries, Journal of Empirical Finance, 4, 341, 10.1016/S0927-5398(96)00013-8 Ramsey, 1990, The statistical properties of dimension calculations using small data sets: Economic applications, International Economic Review, 31, 991, 10.2307/2527026 Scheinkman, J.A., LeBaron, B., 1989a. Nonlinear dynamics and GNP data. In: Barnett, W.A., Geweke, J., Shell, K. (Eds.), Economic Complexity: Chaos, Sunspots, Bubbles and Nonlinearity, International Symposium in Economic Theory and Econometrics, Chap. 9. Cambridge University Press, Cambridge, pp. 213–227. Scheinkman, 1989, Nonlinear dynamics and stock returns, Journal of Business, 62, 311, 10.1086/296465 Weigend, A.S., Gershenfeld, N.A., 1993. Time Series Prediction: Forecasting the Future and Understanding the Past, SFI Studies in the Sciences of Complexity, Vol. 15. Addison Wesley, Reading, MA.