This paper presents techniques for modelling and estimating the behavior of financial market price or return differentials that follow non-linear regime-switching behaviour. The methodology to be used here is estimation of variants of threshold autoregression (TAR) models. In the basic model the differentials are random within a band defined by transactions costs and contract risk; they occasionally jump outside the band, and then follow an autoregressive path back towards the band. The principal reference is Tchernykh (1998). The application here is to deviations from covered interest parity (CIP) between forward foreign exchange (FX) markets in Hong Kong and the Philippines. We have observed that these deviations from the band follow irre...
This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a...
This paper develops a model which is able to forecast exchange rate turmoil. Our starting point reli...
This paper explores the ability of factor models to predict the dynamics of US and UK interest rate ...
We test the joint dynamics between the Hong Kong Hang Seng Index futures and the underlying cash ind...
This paper examines the dynamics of deviations from covered interest parity using daily data on the ...
The breakdown of the Bretton Woods system and the adoption of generalized floating exchange rates us...
The covered interest rate parity condition (CIRP) has been widely used in open macroeconomic analysi...
Several researchers have suggested that exchange rates may be characterized by nonlinear behaviour. ...
Financial instruments are known to exhibit abrupt and dramatic changes in behaviour. This paper inve...
When financial market conditions change, traders adopt different strategies. The traders’ coll...
If stock and stock index futures markets are functioning properly price movements in these markets s...
In this paper we seek to develop a new approach to the time series analysis of foreign exchange risk...
International audienceRecent studies on general equilibrium models with transaction costs show that ...
building. The breakdown of the Bretton Woods system and the adoption of generalized oating exchange ...
This paper investigates the effect of past returns and trading volumes on the temporal behaviour of ...
This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a...
This paper develops a model which is able to forecast exchange rate turmoil. Our starting point reli...
This paper explores the ability of factor models to predict the dynamics of US and UK interest rate ...
We test the joint dynamics between the Hong Kong Hang Seng Index futures and the underlying cash ind...
This paper examines the dynamics of deviations from covered interest parity using daily data on the ...
The breakdown of the Bretton Woods system and the adoption of generalized floating exchange rates us...
The covered interest rate parity condition (CIRP) has been widely used in open macroeconomic analysi...
Several researchers have suggested that exchange rates may be characterized by nonlinear behaviour. ...
Financial instruments are known to exhibit abrupt and dramatic changes in behaviour. This paper inve...
When financial market conditions change, traders adopt different strategies. The traders’ coll...
If stock and stock index futures markets are functioning properly price movements in these markets s...
In this paper we seek to develop a new approach to the time series analysis of foreign exchange risk...
International audienceRecent studies on general equilibrium models with transaction costs show that ...
building. The breakdown of the Bretton Woods system and the adoption of generalized oating exchange ...
This paper investigates the effect of past returns and trading volumes on the temporal behaviour of ...
This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a...
This paper develops a model which is able to forecast exchange rate turmoil. Our starting point reli...
This paper explores the ability of factor models to predict the dynamics of US and UK interest rate ...