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Testing for sign and amplitude asymmetries using threshold autoregressions · Study

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ArticleTesting for sign and amplitude asymmetries using threshold autoregressions

Jerry Coakley2005

Article2005

Testing for sign and amplitude asymmetries using threshold autoregressions

Jerry Coakley · Ana-Marı́a Fuertes

31 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Financial Markets and Investment Strategies

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References

1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates 1997Threshold Cointegration 2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles 1984Are Economic Time Series Asymmetric over the Business Cycle?2001Threshold Autoregression with a Unit Root 1993BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK 2001Purchasing Power Parity and the Real Exchange Rate 1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates

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Year2005

Typearticle

Published2005-06-22

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations31

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jedc.2005.03.007

openalex_workW1996150522

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