%0 Journal Article
%T Testing for the Nonlinearity of ASEAN-5 Daily Dollar Exchange Rates<br>东盟五国汇率序列的非线性检验
%A ZHANG Yu-qin
%A LIN Gui-jun
%A WANG Shou-yang
%A <br>张玉芹
%A 林桂军
%A 汪寿阳
%J 系统工程理论与实践
%D 2006
%I 
%X In this study,we focus our attention on testing for nonlinearity of the daily dollar exchange rates data.Specifically,we use a discrete parametric modeling approach to compute an efficient test statistics for nonlinearity of ASEAN-5 daily dollar exchange rates.To validate the test statistics,we use surrogate data testing method.Moreover,for a comparative analysis between the exchange rate series and a well-known chaotic model,we also use artificial data of x-coordinate of Lorenz chaotic model.The empirical results show that there exists nonlinearity in ASEAN-5 daily dollar exchange rates.
%K nonlinearity test
%K surrogate data analysis
%K exchange rate<br>非线性检验
%K 替代数据分析
%K 汇率
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=E243264331E31ACF&yid=37904DC365DD7266&vid=96C778EE049EE47D&iid=708DD6B15D2464E8&sid=CA4FD0336C81A37A&eid=DF92D298D3FF1E6E&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=10