Search Results - subject:"Nonlinear Threshold Models"

Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle

Lo, Ming Chien; Morley, James - School of Economics, UNSW Business School - 2013

estimation of nonlinear threshold models is developed. Unlike standard grid-based estimation, the Bayesian approach fully …

Persistent link: https://www.econbiz.de/10010662764

Bayesian analysis of nonlinear exchange rate dynamics and the purchasing power parity persistence puzzle

Lo, Ming Chien; Morley, James C. - In: Journal of international money and finance 51 (2015), pp. 264-284

Persistent link: https://www.econbiz.de/10011475263

Bayesian analysis of nonlinear exchange rate dynamics and the purchasing power parity persistence puzzle

Lo, Ming Chien; Morley, James - In: Journal of International Money and Finance 51 (2015) C, pp. 285-302

estimation of nonlinear threshold models is developed. Unlike standard grid-based estimation, the Bayesian approach fully …

Persistent link: https://www.econbiz.de/10011190175

Are Southeast Asian real exchange rates mean reverting?

Bec, Frédérique; Zeng, Songlin - In: Journal of international financial markets, … 23 (2013), pp. 265-282

Persistent link: https://www.econbiz.de/10009707500

Are Southeast Asian real exchange rates mean reverting?

Bec, Frédérique; Zeng, Songlin - In: Journal of International Financial Markets, … 23 (2013) C, pp. 265-282

Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well described by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions....

Persistent link: https://www.econbiz.de/10010603087

On parameter estimation of threshold autoregressive models

Chan, Ngai; Kutoyants, Yury - In: Statistical Inference for Stochastic Processes 15 (2012) 1, pp. 81-104

Persistent link: https://www.econbiz.de/10010539196

Non-nested models and the likelihood ratio statistic: A comparison of simulation and bootstrap based tests

Kapetanios, George; Weeks, Melvyn J. - 2003

threshold models, the inclusion of a similar analysis of the more standard linear/log-linear models provides a point of … the relative evaluation of simulation and bootstrap-based nonnested procedures in testing across a class of nonlinear …

Persistent link: https://www.econbiz.de/10010284159

Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests

Kapetanios, G.; Weeks, M. - Faculty of Economics, University of Cambridge - 2003

Persistent link: https://www.econbiz.de/10005783842

Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests

Kapetanios, George; Weeks, Melvyn - School of Economics and Finance, Queen Mary - 2003

Persistent link: https://www.econbiz.de/10005106426