Threshold cointegration in international exchange rates:A Bayesian approach

Author:

Huber Florian,Zörner Thomas O.

Funder

Austrian National Bank

Publisher

Elsevier BV

Subject

Business and International Management

Reference63 articles.

1. Point, interval and density forecasts of exchange rates with time varying parameter models;Abbate;Journal of the Royal Statistical Society, Series A (Statistics in Society),2018

2. Financial conditions and density forecasts for US output and inflation;Alessandri;Review of Economic Dynamics,2017

3. Bayesian estimation of cointegrating thresholds in the term structure of interest rates;Balcombe;Empirical Economics,2006

4. Bayesian estimation and selection of nonlinear vector error correction models: the case of the sugar-ethanol-oil nexus in Brazil;Balcombe;American Journal of Agricultural Economics,2008

5. Threshold cointegration;Balke;International Economic Review,1997

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