A Discrete-Time Version of Target Zone Models with Jumps

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A Discrete-Time Version of Target Zone Models with Jumps

Author Info

Pesaran, H.M.
Ruge-Murcia, F.J.

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Abstract

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Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 9513.

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Length: 40 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:cam:camdae:9513

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Paper
- Pesaran, M.H. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cahiers de recherche 9530, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Pesaran, M.H. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cahiers de recherche 9530, Universite de Montreal, Departement de sciences economiques. [Downloadable!]

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Ng, S., 1995. "Looking for Evidence of Speculative Stockholding in Commodity Markets," Cahiers de recherche 9514, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Other versions:
- Ng, S., 1995. "Looking for Evidence of Speculative Stockholding in Commodity Markets," Cahiers de recherche 9514, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
- Ng, Serena, 1996. "Looking for evidence of speculative stockholding in commodity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 20(1-3), pages 123-143. [Downloadable!] (restricted)
Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi, 1993. "A Model of Target Changes and the Term Structure of Interest Rates," NBER Working Papers 4347, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July. [Downloadable!] (restricted)
Vogelsang, Timothy J & Perron, Pierre, 1998. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1073-1100, November.
Other versions:
- Vogelsang, T.J. & Perron, P., 1994. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," Cahiers de recherche 9422, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
- Vogelsang, T.J. & Perron, P., 1994. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," Cahiers de recherche 9422, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Ng, S. & Schaller, H., 1995. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," Cahiers de recherche 9515, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Other versions:
- Huntley Schaller & Serena Ng, 1993. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," Carleton Economic Papers 93-07, Carleton University, Department of Economics.
- Ng, S. & Schaller, H., 1995. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," Cahiers de recherche 9515, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
- Ng, Serena & Schaller, Huntley, 1996. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," The Review of Economics and Statistics, MIT Press, vol. 78(3), pages 375-83, August. [Downloadable!] (restricted)
Ng, S., 1995. "Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary," Cahiers de recherche 9516, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
Other versions:
- Ng, S., 1995. "Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary," Cahiers de recherche 9516, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, Serena, 1995. "Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 147-63, April-Jun. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Gabriele Fiorentini & Giorgio Calzolari, 1997. "-A Tobit Model With Garch Errors," Working Papers. Serie AD 1997-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
Other versions:
- Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor and Francis Journals, vol. 17(1), pages 85-104. [Downloadable!] (restricted)

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