A time series model for an exchange rate in a target zone with applications
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Other versions of this item:
- Lundbergh, Stefan & Terasvirta, Timo, 2006. "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 579-609.
- Timo Terasvirta, 2004. "A Time Series Model for an Exchange Rate in a Target Zone with Applications," Econometric Society 2004 Australasian Meetings 340, Econometric Society.
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More about this item
KeywordsAutoregressive conditional heteroskedasticity; exchange rate dynamics; nonlinear modelling; smooth transition autoregression;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-09-08 (All new papers)
- NEP-ECM-2003-09-08 (Econometrics)
- NEP-ETS-2003-09-08 (Econometric Time Series)
- NEP-IFN-2003-09-08 (International Finance)
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