This paper proposes an automatic procedure to identify threshold autoregressive models and specify the values of thresholds. The proposed procedure is based on the time-varying estimation of the parameters using an arranged autoregression. The proposed method not only allows for the automatic...

This paper studies the exchange rate risk of Euro, Pound and Yen against US Dollar before and after the EMU. The key question is to analyse the impact of the Euro to exchange rate risks. The risk is measured by estimating risk price coefficient (RPC) from an excess return equation. A conditional...

In this paper we consider a wide class of truncated stochastic approximation procedures. These procedures have three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function. We establish...