A time series model for an exchange rate in a target zone with applications

DOI10.1016/J.JECONOM.2005.01.017MaRDI QIDQ292041zbMATH OpenOpenAlexFDO

Authors Stefan Lundbergh, Timo Teräsvirta

Publication date 10 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.01.017

zbMATH Keywords

autoregressive conditional heteroskedasticityexchange rate dynamicsnonlinear modellingsmooth transition autoregression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• A new look at the statistical model identification
• Estimating the dimension of a model
• Evaluating GARCH models.
• Generalized autoregressive conditional heteroscedasticity
• Intervention Policy and Mean Reversion in Exchange Rate Target Zones: The Swedish Case
• Modeling by shortest data description
• Narrow target zones within broad zones: A non-speculative exchange rate solution with limited resources
• On the mean-reverting properties of target zone exchange rates: A cautionary note
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing linearity against smooth transition autoregressive models
• Testing the adequacy of smooth transition autoregressive models
• Testing the constancy of regression parameters against continuous structural change
• The Fitting of a Generalization of the Logistic Curve
• Unit Roots and Asymmetric Smooth Transitions

Cited in

(15)

• A statistical analysis of the diffusion models for the exchange rate in a target zone
• Can one hear the shape of a target zone?
• The valuation of options on foreign exchange rate in a target zone
• Transition from the Taylor rule to the zero lower bound
• The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations
• Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
• On the mean-reverting properties of target zone exchange rates: A cautionary note
• Constant elasticity of variance models with target zones
• Structural breaks in Taylor rule based exchange rate models -- evidence from threshold time varying parameter models
• Maximum likelihood estimation and uniform inference with sporadic identification failure
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• Smooth transition simultaneous equation models
• An LSTAR model with two thresholds and its application to RMB exchange rate forecast
• DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
• Quantile unit root inference for panel data with common shocks

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