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Are real exchange rates more likely to be stationary during the fixed nominal exchange rate regimes?

Yoon, Gawon - In: Applied economics letters 16 (2009) 1/3, pp. 17-22

Persistent link: https://www.econbiz.de/10003822537

Purchasing power parity and long memory

Yoon, Gawon - In: Applied economics letters 16 (2009) 1/3, pp. 55-61

Persistent link: https://www.econbiz.de/10003822561

Long memory in return volatility

Yoon, Gawon - In: Applied economics letters 17 (2010) 4/6, pp. 345-349

Persistent link: https://www.econbiz.de/10003979468

Nonlinear mean-reversion to purchasing power parity : exponential smooth transition autoregressive models and stochastic unit root processes

Yoon, Gawon - In: Applied economics 42 (2010) 4/6, pp. 489-496

Nonlinear exponential smooth transition autoregressive (ESTAR) models are recently very popular in modelling the deviation from purchasing power parity. This article, shows that there is a close relation between the ESTAR models estimated in Taylor et al. (2001) and stochastic unit root (STUR)...

Persistent link: https://www.econbiz.de/10003951985