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

Journal of Econometrics

Volumn 131, Issue 1-2, 2006, Pages 579-609

  Lundbergh, Stefan ^a   Teräsvirta, Timo ^a  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

Author keywords

Autoregressive conditional heteroskedasticity; Exchange rate dynamics; Nonlinear modelling; Smooth transition autoregression

Indexed keywords

INDUSTRIAL ECONOMICS; MATHEMATICAL MODELS; NONLINEAR SYSTEMS; REGRESSION ANALYSIS;

AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; EXCHANGE RATE DYNAMICS; NONLINEAR MODELLING; SMOOTH TRANSITION AUTOREGRESSION;

TIME SERIES ANALYSIS;

EID: 33644508431     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.01.017     Document Type: Conference Paper

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