Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics
Link
http://link.springer.com/content/pdf/10.1007/s11079-006-6812-7.pdf
Reference37 articles.
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3. Baum, Christopher F, John T. Barkoulas, and Mustafa Caglayan (2001) “Non-linear Adjustment to Purchasing Power Parity in the Post-Bretton Woods Era.” Journal of International Money and Finance 20:379–399.
4. Chan, K.S., and Howell Tong (1986) “On Estimation Thresholds in Autoregressive Models.” Journal of Time Series Analysis 7:179–190.
5. Clements, Micheal P and Jeremy Smith (1997) “A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models.” International Journal of Forecasting 13:463–475.
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