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

Stefan Lundbergh2005

Article2005

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

Stefan Lundbergh · Timo Teräsvirta Y

78 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

1986Generalized autoregressive conditional heteroskedasticity 1988Testing Linearity Against Smooth Transition Autoregressive Models 2003The Economics of Exchange Rates 1991Target Zones and Exchange Rate Dynamics 1996Testing the adequacy of smooth transition autoregressive models 1992An Interpretation of Recent Research on Exchange Rate Target Zones 2002Evaluating GARCH models 1996Analytic derivatives and the computation of GARCH estimates

Cited by

2008Environment and development: is there a Kuznets curve for CO 2 emissions?2005Asymmetric adjustment and nonlinear dynamics in real exchange rates 2011EXCHANGE RATE TARGET ZONES: A SURVEY OF THE LITERATURE 2013Money demand in the euro area, the US and the UK: Assessing the role of nonlinearity 2002A model for exchange rates with crawling bands—an application to the Colombian peso 2015Asymmetric Behaviour of Inflation around the Target in Inflation‐Targeting Countries

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2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structurepreprint · 5 shared references 2008Exchange rate dynamics in a target zone—A heterogeneous expectations approacharticle · 5 shared references 2008Exchange Rate Dynamics in a Target Zone - A Heterogeneous Expectations Approachpreprint · 5 shared references 2010Modelling Nonlinear Economic Time Seriesbook · 4 shared references 2013Modelling volatility by variance decompositionarticle · 4 shared references 2014Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) modelarticle · 4 shared references

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Year2005

Typearticle

Published2005-03-11

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations78

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2005.01.017

openalex_workW2159059365

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2022Quantile unit root inference for panel data with common shocks

2007Estimation Bias and Inference in Overlapping Autoregressions: Implications for the Target‐Zone Literature*