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File URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/rsrchcentres/ferc/wrkingpaprseries/fwp01-09.pdf
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Paper provided by Warwick Business School, Financial Econometrics Research Centre in its series Working Papers with number wp01-09.

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Date of creation: 2001
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Handle: RePEc:wbs:wpaper:wp01-09

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Web page: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/rsrchcentres/ferc/
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1. Caner,M. & Hansen,B.E., 1998. "Threshold autoregression with a near unit root," Working papers 27, Wisconsin Madison - Social Systems.
   
   • Mehmet Caner & Bruce E. Hansen, 1998. "Threshold Autoregressions with a Near Unit Root," Departmental Working Papers 9821, Bilkent University, Department of Economics.
2. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
   
   • Tom Doan, . "RATS programs to replicate Balke-Fomby threshold cointegration," Statistical Software Components RTZ00010, Boston College Department of Economics.
   • Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
3. Coakley, Jerry & Fuertes, Ana-Maria, 2001. "Border costs and real exchange rate dynamics in Europe," Journal of Policy Modeling, Elsevier, vol. 23(6), pages 669-676, August.
4. Philip Rothman, 1999. "Time Series Evidence on Whether Adjustment to Long-Run Equilibrium is Asymmetric," Working Papers 9904, East Carolina University, Department of Economics.
5. Pesaran, H.M. & Potter, S.M., 1995. "A Floor and Ceiling Model of U.S. Output," Cambridge Working Papers in Economics 9407, Faculty of Economics, University of Cambridge.
   
   • Pesaran, M. Hashem & Potter, Simon M., 1997. "A floor and ceiling model of US output," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 661-695, May.
6. Kapetanios, G., 1999. "Model Selection in Threshold Models," Cambridge Working Papers in Economics 9906, Faculty of Economics, University of Cambridge.
7. Coakley, Jerry & Fuertes, Ana-Maria, 2001. "A Non-linear Analysis of Excess Foreign Exchange Returns," Manchester School, University of Manchester, vol. 69(6), pages 623-42, December.
8. Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics 9905, Faculty of Economics, University of Cambridge.

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Cited by:

1. Norman, Stephen, 2008. "Systematic small sample bias in two regime SETAR model estimation," Economics Letters, Elsevier, vol. 99(1), pages 134-138, April.
2. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
3. Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006. "Changing-regime volatility : A fractionally integrated SETAR model," Working Papers halshs-00410540, HAL.
   
   • Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: a fractionally integrated SETAR model," Applied Financial Economics, Taylor and Francis Journals, vol. 18(7), pages 519-526.
   • Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: A fractionally integrated SETAR model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185369, HAL.
4. Laurent Ferrara & Dominique Guégan, 2005. "Detection of the Industrial Business Cycle using SETAR Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2005(3), pages 353-371.
   
   • Dominique Guegan & Laurent Ferrara, 2005. "Detection of the Industrial Business Cycle using SETAR models," Post-Print halshs-00201309, HAL.
   • Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany.
5. Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Long-memory dynamics in a SETAR model - Applications to stock markets," Post-Print halshs-00179339, HAL.
   
   • Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005. "Long-memory dynamics in a SETAR model - applications to stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 391-406, December.
6. Chen, An-Sing & Lin, Shih-Chieh, 2011. "Asymmetrical return on equity mean reversion and catering," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 471-477, February.
7. Mark P. Taylor, 2004. "Is Official Exchange Rate Intervention Effective?," Economica, London School of Economics and Political Science, vol. 71, pages 1-11, 02.
   
   • Taylor, Mark P, 2003. "Is Official Exchange Rate Intervention Effective?," CEPR Discussion Papers 3758, C.E.P.R. Discussion Papers.
8. repec:hal:journl:halshs-00185369 is not listed on IDEAS
9. van Tol, Michel R & Wolff, Christian C, 2005. "Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration," CEPR Discussion Papers 4958, C.E.P.R. Discussion Papers.
10. Coakley, Jerry & Fuertes, Ana-Maria, 2001. "Border costs and real exchange rate dynamics in Europe," Journal of Policy Modeling, Elsevier, vol. 23(6), pages 669-676, August.
11. Marian Vavra, 2012. "A Note on the Finite Sample Properties of the CLS Method of TAR Models," Birkbeck Working Papers in Economics and Finance 1206, Birkbeck, Department of Economics, Mathematics & Statistics.
12. Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39.

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