Citations for "Modeling non-linearities in real effective exchange rates"
by Sarantis, Nicholas
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- Cynthia A. Lengnick-Hall & Robert J. Griffith, .
"Knowledge Resources, Exploration, and Exploitation: A New Perspective on the Interplay Between Innovation and Application,"
0027, College of Business, University of Texas at San Antonio.
- Georgios Chortareas & George Kapetanios, 2004.
"The Yen Real Exchange Rate may be Stationary after all: Evidence from Non-linear Unit-root Tests,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 66(1), pages 113-131, 02.
- Ubilava, David & Helmers, C Gustav, 2012.
"Forecasting ENSO with a smooth transition autoregressive model,"
36890, University Library of Munich, Germany.
- Carlo Altavilla, 2006.
"The (Un-) Stable Relationship between The Exchange rate and its Fundamentals,"
6_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012.
"Testing for persistent deviations of stock prices to dividends in the Nasdaq index,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 391(20), pages 4675-4685.
- López Villavicencio, Antonia, 2008.
"Nonlinearities or outliers in real exchange rates?,"
Elsevier, vol. 25(4), pages 714-730, July.
- Holmes, Mark J. & Maghrebi, Nabil, 2004.
"Asian real interest rates, nonlinear dynamics, and international parity,"
International Review of Economics & Finance,
Elsevier, vol. 13(4), pages 387-405.
- Ming Chien Lo & Eric Zivot, 1999.
"Threshold Cointegration and Nonlinear Adjustment to the Law of One Price,"
Discussion Papers in Economics at the University of Washington
0030, Department of Economics at the University of Washington.
- Gil-Alana, Luis A., 2008.
"A simple non-linear model with fractional integration for financial time series data,"
International Review of Financial Analysis,
Elsevier, vol. 17(5), pages 838-848, December.
- Mototsugu Shintani, 2002.
"A Nonparametric Measure of Convergence Toward Purchasing Power Parity,"
Vanderbilt University Department of Economics Working Papers
0219, Vanderbilt University Department of Economics, revised Jul 2004.
- Andros Gregoriou & Alexandros Kontonikas, 2005.
"Modeling The Non-Linear Behaviour of Inflation Deviations From The Target,"
2005_12, Business School - Economics, University of Glasgow.
- Joseph D. ALBA & Donghyun PARK, 2004.
"Mean Reversion of Real Exchange Rates and Purchasing Power Parity in Turkey,"
Econometric Society 2004 Far Eastern Meetings
530, Econometric Society.
- Milas, C., 2003.
"Non-linear multivariate adjustment of the UK real exchange rate,"
03/08, Department of Economics, City University London.
- Venus Khim-Sen Liew, 2004.
"Which Lag Length Selection Criteria Should We Employ?,"
AccessEcon, vol. 3(33), pages 1-9.
- Kruse, Robinson, 2011.
"On European monetary integration and the persistence of real effective exchange rates,"
Finance Research Letters,
Elsevier, vol. 8(1), pages 45-50, March.
- Ahmad Zubaidi Baharumshah & Venus Khim-Sen Liew & Evan Lau, 2003.
"Nonlinear Mean Reversion in Real Exchange Rates: Evidence from the ASEAN-5,"
- Rapach, David E. & Wohar, Mark E., 2006.
"The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior,"
International Journal of Forecasting,
Elsevier, vol. 22(2), pages 341-361.
- Gabriella Legrenzi & Costas Milas, 2005.
"Non-linear real exchange rate effects in the UK labour market,"
Keele Economics Research Papers
KERP 2005/08, Centre for Economic Research, Keele University.
- Venus Khim-Sen Liew & Terence Tai-Leung Chong & Kian-Ping Lim, 2003.
"The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies,"
Taylor and Francis Journals, vol. 35(12), pages 1387-1392.
- Carlo Altavilla & Paul De Grauwe, 2010.
"Non-linearities in the relation between the exchange rate and its fundamentals,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 15(1), pages 1-21.
- Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2007.
"An exponential FISTAR model applied to the US real effective exchange rate,"
- Westerhoff Frank H. & Reitz Stefan, 2003.
"Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 7(4), pages 1-15, December.
- Robinson Kruse, 2011.
"A new unit root test against ESTAR based on a class of modified statistics,"
Springer, vol. 52(1), pages 71-85, February.
- Lin, Jeng-Bau & Liang, Chin-Chia & Yeh, Ming-Liang, 2011.
"Examining nonlinear dynamics of exchange rates and forecasting performance based on the exchange rate parity of four Asian economies,"
Japan and the World Economy,
Elsevier, vol. 23(2), pages 79-85, March.
- Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004.
"Nonlinear Modelling of Purchasing Power Parity in Indonesia,"
Econometric Society 2004 Australasian Meetings
316, Econometric Society.
- Liew Khim Sen & Ahmad Zubaidi Baharumshah & Choo Wei Chong & Habshah Midi, 2003.
"A Non-parametric Bootstrap Simulation Study in ESTAR (1) Model,"
GE, Growth, Math methods
- Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012.
"Forecasting volatility with asymmetric smooth transition dynamic range models,"
International Journal of Forecasting,
Elsevier, vol. 28(2), pages 384-399.
- Gregoriou, Andros & Kontonikas, Alexandros, 2009.
"Modeling the behaviour of inflation deviations from the target,"
Elsevier, vol. 26(1), pages 90-95, January.
- repec:ebl:ecbull:v:6:y:2003:i:2:p:1-11 is not listed on IDEAS
- Alba, Joseph D. & Park, Donghyun, 2005.
"An empirical investigation of purchasing power parity (PPP) for Turkey,"
Journal of Policy Modeling,
Elsevier, vol. 27(8), pages 989-1000, November.
- repec:cfs:cfswop:wp200310 is not listed on IDEAS
- John W. Galbraith & Greg Tkacz, 2007.
"How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables,"
07-1, Bank of Canada.
- Baharumshah, Ahmad Zubaidi & Liew, Venus Khim-Sen & Chowdhury, Ibrahim, 2010.
"Asymmetry dynamics in real exchange rates: New results on East Asian currencies,"
International Review of Economics & Finance,
Elsevier, vol. 19(4), pages 648-661, October.
- Kim, Sei-Wan & Mollick, André V. & Nam, Kiseok, 2008.
"Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets,"
Global Finance Journal,
Elsevier, vol. 19(1), pages 19-31.
- Stephen Norman, 2009.
"Testing for a unit root against ESTAR nonlinearity with a delay parameter greater than one,"
AccessEcon, vol. 29(3), pages 2152-2173.
- McMillan, David G., 2007.
"Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model,"
Journal of Banking & Finance,
Elsevier, vol. 31(3), pages 787-804, March.
- Pippenger, John, 2004.
"The Modern Theory of the LOP and PPP: Some Implications,"
University of California at Santa Barbara, Economics Working Paper Series
qt60z886n7, Department of Economics, UC Santa Barbara.
- Venus Khim-Sen Liew & Hock-Ann Lee & Kian-Ping Lim & Huay-Huay Lee, 2008.
"Linearity and Stationarity of South Asian Real Exchange Rates,"
The IUP Journal of Applied Economics,
IUP Publications, vol. 0(5), pages 48-58, September.
- Mohsen Bahmani-Oskooee & Ali M. Kutan & Su Zhou, 2009.
"A century of PPP: supportive results from nonlinear unit root tests,"
Global Business and Economics Review,
Inderscience Enterprises Ltd, vol. 11(1), pages 19-27.
- E Pavlidis & Ivan Paya & D Peel, 2009.
"Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear,"
601190, Lancaster University Management School, Economics Department.
- Andros Gregoriou & Niloy Bose & M. Emranul Haque, 2010.
"Modeling the non-linear behaviour of option price deviations from the Black Scholes model,"
Journal of Economic Studies,
Emerald Group Publishing, vol. 37(1), pages 26-35, January.
- Samira Haddou, 2011.
"Is Tunisian Real Effective Exchange Rate Mean Reverting? Evidence from Nonlinear Models,"
Transition Studies Review,
Springer, vol. 18(1), pages 164-178, September.
- Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002.
"A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs,"