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

DOI10.1016/J.JECONOM.2005.01.017zbMATH Open1337.62330OpenAlexW2159059365MaRDI QIDQ292041FDOQ292041

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

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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)

Cites Work

• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• A new look at the statistical model identification
• Testing the constancy of regression parameters against continuous structural change
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing the adequacy of smooth transition autoregressive models
• Evaluating GARCH models.
• Testing linearity against smooth transition autoregressive models
• Modeling by shortest data description
• Title not available (Why is that?)
• The Fitting of a Generalization of the Logistic Curve
• Narrow target zones within broad zones: A non-speculative exchange rate solution with limited resources
• Intervention Policy and Mean Reversion in Exchange Rate Target Zones: The Swedish Case
• Unit Roots and Asymmetric Smooth Transitions
• On the mean-reverting properties of target zone exchange rates: A cautionary note

Cited In (15)

• Can one hear the shape of a target zone?
• A statistical analysis of the diffusion models for the exchange rate in 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
• On the mean-reverting properties of target zone exchange rates: A cautionary note
• Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
• Constant elasticity of variance models with target zones
• Structural breaks in Taylor rule based exchange rate models -- evidence from threshold time varying parameter models
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• Maximum likelihood estimation and uniform inference with sporadic identification failure
• 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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