Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates

Nonlinear mean-reversion in real exchange rates: towards a solution to the purchasing power parity puzzles

Taylor, Mark P.
Peel, D.
Sarno, Lucio

January 2001

We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...

Variance ratio test for mean reversion in financial and economic series

Poon, S.
Taylor, S.
Economic and Social Research Council (ESRC), Swindon (United Kingdom)

Available from British Library Document Supply Centre-DSC:3739.0605(R000221139) / BLDSC - British Li...

A revisit to the non-linear mean reversion of real exchange rates: Evidence from a series-specific non-linear panel unit-root test

Wu, Jyh-Lin
Lee, Hsiu-Yun

The purpose of this paper is to construct a series-specific non-linear panel unit-root test and then...

Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates.

Sollis, R.
Leybourne, S. J.
Newbold, P.

August 2002

New tests, based on smooth transition autoregressive models, for mean reversion in time series of re...

Nonlinear mean reversion in real exchange rates: Evidence from developing and emerging market economies

Mario Cerrato
Nick Sarantis

January 2006

We provide evidence on nonlinear mean reversion in the real exchange rates of developing and emergin...

Nonlinear mean reversion in real exchange rates

G. E. Chortareas
Bank Of England
George Kapetanios
Bank Of England

January 2002

This paper modifies a unit-root test procedure in the nonlinear STAR framework recently advanced by ...

Non-linear mean reversion in real exchange rates Towards a solution to the purchasing power parity puzzles

Taylor, M.P.
Peel, D.A.
Sarno, L.
Centre for Economic Policy Research, London (United Kingdom)

January 2001

Issued under the auspices of the Centre's research programme in international macroeconomicsAvailabl...

Testing for nonlinearity in daily sterling exchange rates

Brooks, C
Reading Univ. (United Kingdom). Centre for Quantitative Economics and Computing

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.9498(32) / BLDSC - British Libr...

Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM

Ma, Y.
Kanas, A.
Stirling Univ. (United Kingdom). Dept. of Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9342(99/3) / BLDSC - British Lib...

Testing for and forecasting nonlinearities in daily sterling exchange rates

Brooks, C.

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN007534 / BLDSC - British Library D...

Nonlinear Dynamics In Foreign Exchange Excess Returns: Tests Of Asymmetry

Emekter, Riza
Jirasakuldech, Benjamas
Snaith, Sean M.

July 2009

This paper examines the nonlinear dynamic behaviors in foreign exchange excess returns of eight curr...

Nonlinear mean-reversion in real exchange rates : toward a solution to the purchasing power parity puzzles

Taylor, Mark P.
Peel, David A.
Sarno, Lucio

January 2001

We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...

Nonlinear Dynamics In Foreign Exchange Excess Returns: Tests Of Asymmetry

Emekter, Riza
Jirasakuldech, Benjamas
Snaith, Sean M.

July 2009

This paper examines the nonlinear dynamic behaviors in foreign exchange excess returns of eight curr...

Nonlinear Dynamics In Foreign Exchange Excess Returns: Tests Of Asymmetry

Emekter, Riza
Jirasakuldech, Benjamas
Snaith, Sean M.

July 2009

This paper examines the nonlinear dynamic behaviors in foreign exchange excess returns of eight curr...

Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles

Peel, David
Sarno, Lucio
Taylor, Mark P

We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...

Nonlinear mean-reversion in real exchange rates: towards a solution to the purchasing power parity puzzles

Taylor, Mark P.
Peel, D.
Sarno, Lucio

January 2001

We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...

Variance ratio test for mean reversion in financial and economic series

Poon, S.
Taylor, S.
Economic and Social Research Council (ESRC), Swindon (United Kingdom)

Available from British Library Document Supply Centre-DSC:3739.0605(R000221139) / BLDSC - British Li...

A revisit to the non-linear mean reversion of real exchange rates: Evidence from a series-specific non-linear panel unit-root test

Wu, Jyh-Lin
Lee, Hsiu-Yun

The purpose of this paper is to construct a series-specific non-linear panel unit-root test and then...

Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates.

Sollis, R.
Leybourne, S. J.
Newbold, P.

August 2002

New tests, based on smooth transition autoregressive models, for mean reversion in time series of re...

Nonlinear mean reversion in real exchange rates: Evidence from developing and emerging market economies

Mario Cerrato
Nick Sarantis

January 2006

We provide evidence on nonlinear mean reversion in the real exchange rates of developing and emergin...

Nonlinear mean reversion in real exchange rates

G. E. Chortareas
Bank Of England
George Kapetanios
Bank Of England

January 2002

This paper modifies a unit-root test procedure in the nonlinear STAR framework recently advanced by ...

Non-linear mean reversion in real exchange rates Towards a solution to the purchasing power parity puzzles

Taylor, M.P.
Peel, D.A.
Sarno, L.
Centre for Economic Policy Research, London (United Kingdom)

January 2001

Issued under the auspices of the Centre's research programme in international macroeconomicsAvailabl...

Testing for nonlinearity in daily sterling exchange rates

Brooks, C
Reading Univ. (United Kingdom). Centre for Quantitative Economics and Computing

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.9498(32) / BLDSC - British Libr...

Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM

Ma, Y.
Kanas, A.
Stirling Univ. (United Kingdom). Dept. of Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9342(99/3) / BLDSC - British Lib...

Testing for and forecasting nonlinearities in daily sterling exchange rates

Brooks, C.

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN007534 / BLDSC - British Library D...

Nonlinear Dynamics In Foreign Exchange Excess Returns: Tests Of Asymmetry

Emekter, Riza
Jirasakuldech, Benjamas
Snaith, Sean M.

July 2009

This paper examines the nonlinear dynamic behaviors in foreign exchange excess returns of eight curr...

Nonlinear mean-reversion in real exchange rates : toward a solution to the purchasing power parity puzzles

Taylor, Mark P.
Peel, David A.
Sarno, Lucio

January 2001

We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...

Nonlinear Dynamics In Foreign Exchange Excess Returns: Tests Of Asymmetry

Emekter, Riza
Jirasakuldech, Benjamas
Snaith, Sean M.

July 2009

This paper examines the nonlinear dynamic behaviors in foreign exchange excess returns of eight curr...

Nonlinear Dynamics In Foreign Exchange Excess Returns: Tests Of Asymmetry

Emekter, Riza
Jirasakuldech, Benjamas
Snaith, Sean M.

July 2009

This paper examines the nonlinear dynamic behaviors in foreign exchange excess returns of eight curr...

Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles

Peel, David
Sarno, Lucio
Taylor, Mark P

We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...

Nonlinear mean-reversion in real exchange rates: towards a solution to the purchasing power parity puzzles

Taylor, Mark P.
Peel, D.
Sarno, Lucio

January 2001

We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...

Variance ratio test for mean reversion in financial and economic series

Poon, S.
Taylor, S.
Economic and Social Research Council (ESRC), Swindon (United Kingdom)

Available from British Library Document Supply Centre-DSC:3739.0605(R000221139) / BLDSC - British Li...

A revisit to the non-linear mean reversion of real exchange rates: Evidence from a series-specific non-linear panel unit-root test

Wu, Jyh-Lin
Lee, Hsiu-Yun

The purpose of this paper is to construct a series-specific non-linear panel unit-root test and then...

Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates

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Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates

Abstract

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