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Fourier nonlinear quantile unit root test of purchasing power parity in cryptocurrencies

Goswami, Gour G.; Saha, Tapas Kumar - In: Applied economics letters 31 (2024) 4, pp. 312-322

Persistent link: https://www.econbiz.de/10014468817

A nonlinear adjustment in real exchange rates under transaction costs hypothesis in developed and emerging countries

Drissi, Ramzi; Boukhatem, Jamel - In: Quantitative finance and economics 4 (2020) 2, pp. 220-235

Persistent link: https://www.econbiz.de/10012271365

Non-linear cointegration and adjustment : an asymmetric exponential smooth-transition model for US interest rates

McMillan, David G. - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 591-606

Persistent link: https://www.econbiz.de/10003776781

Finite sample performance in cointegration analysis of nonlinear time series with long memory

Gonçalves da Silva, Afonso (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003327199

Non-linear interest rate dynamics and forecasting : evidence for US and Australian interest rates

McMillan, David G. - In: International journal of finance & economics : IJFE 14 (2009) 2, pp. 139-155

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First and second order non-linear cointegration models

Lange, Theis - 2009

Persistent link: https://www.econbiz.de/10003849457

Linear cointegration of nonlinear time series with an application to interest rate dynamics

Jones, Barry E.; Nesmith, Travis D. - 2007

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Specification testing for nonlinear cointegrating regression

Wang, Qiying; Phillips, Peter C. B. - 2011

cointegration and regressors that have autoregressive unit roots or near unit roots. The limit theory for the specification test …

Persistent link: https://www.econbiz.de/10008826041

The EMBI in Latin America : fractional integration, non-linearities and breaks

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015

This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...

Persistent link: https://www.econbiz.de/10011392136

The EMBI in Latin America : fractional integration, non-linearities and breaks

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015

Persistent link: https://www.econbiz.de/10011392612