Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
