Nonlinear models with strongly dependent processes and applications to forward premia and real exchange rates
Year of publication: |
2006
|
---|---|
Authors: | Baillie, Richard ; Kapetanios, George |
Publisher: |
London : Queen Mary University of London, Department of Economics |
Subject: | Non-linearity, ESTAR models, Strong dependence, Forward premium, Real exchange rates |
Series: | Working Paper ; 570 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 517656744 [GVK] hdl:10419/62857 [Handle] |
Classification: | C22 - Time-Series Models ; C12 - Hypothesis Testing ; F31 - Foreign Exchange |
Source: |
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