Threshold adjustment of deviations from the law of one price

Studies in Nonlinear Dynamics and Econometrics

Volumn 12, Issue 3, 2008, Pages

  Juvenal, Luciana ^a   Taylor, Mark P ^b  

^a FEDERAL RESERVE BANK OF ST LOUIS   (United States)

^b UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Law of one price; Mean reversion; Nonlinearities; Thresholds

Indexed keywords

EID: 55549109751     PISSN: 10811826     EISSN: 15583708     Source Type: Journal    
DOI: 10.2202/1558-3708.1520     Document Type: Article

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