On Robust Testing and Modelling of Threshold-Type Non-Linearity in ASEAN Foreign Exchange Markets
There are many situations in which insurance companies operating in the Asian region encounter foreign exchange risk. This paper considers a stochastic threshold approach to modelling foreign exchange risks in some Association of Southeast Asian Nations (ASEAN) markets. The class of self-exciting threshold autoregressive (SETAR) models is used. These models are able to capture the exchange rate band phenomenon that has been discussed in the monetary economics literature. Both ordinary least squares and robust modelling procedures are considered.
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Volume (Year): 5 (2011)
Issue (Month): 2 (July)
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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.:
- Terui, Nobuhiko & van Dijk, Herman K., 2002.
"Combined forecasts from linear and nonlinear time series models,"
International Journal of Forecasting,
Elsevier, vol. 18(3), pages 421-438.
- Terui, N. & van Dijk, H.K., 1999. "Combined forecasts from linear and nonlinear time series models," Econometric Institute Research Papers EI 9949-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- N. Terui & Herman K. van Dijk, 2000. "Combined Forecasts from Linear and Nonlinear Time Series Models," Tinbergen Institute Discussion Papers 00-003/4, Tinbergen Institute.
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