Nonlinear analyses of exchange rates based on the BDS-surrogate data: evidence from main Asian markets

Authors:
Qiang Lei;Yufeng Ji;Min Lei
Affiliations:
Antai College of Economics & Management, Shanghai Jiaotong University, Shanghai, China;Department of International Finance, Donghua University, Shanghai, China;Institute of Vibration, Shock and Noise, Shanghai Jiaotong University, Shanghai, China
Venue:
FSKD'09 Proceedings of the 6th international conference on Fuzzy systems and knowledge discovery - Volume 2
Year:
2009

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Abstract

This paper proposes a new method of combining BDS testing with surrogate data technique to detect the nonlinearities of the time series. Next, using the method, this paper presents some empirical evidence on the presence of nonlinearities of six main Asian exchange rates, comparing the difference between the original data and surrogate data generated from the original and rejecting the null hypothesis in confidence coefficient 95%. We concluded that the exchange rate time series contain deterministic nonlinear components.