Search Results - subject:"Smooth Transition Regression models"

Smooth transition regression models in finance

Leppin, Julian Sebastian - 2017

This thesis covers the further development of smooth transition regression models and their applications in finance …. Smooth transition regression models are used to model nonlinearity of regime-switching type in empirical applications …. Usually, smooth transition regression models are used with univariate transition functions, that is, a single transition …

Persistent link: https://www.econbiz.de/10011623746

Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks 4 (2016) 1, pp. 1-14

, including smooth transition regression models, logistic smooth transition regressions models, threshold autoregressive models …

Persistent link: https://www.econbiz.de/10011709545

Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14

, including smooth transition regression models, logistic smooth transition regressions models, threshold autoregressive models …

Persistent link: https://www.econbiz.de/10011443686

Nonlinear interest rate-setting behaviour of German commercial banks

Heinzelmann, Ludwig; Missong, Martin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10012289402

Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015

, including smooth transition regression models, logistic smooth transition regressions models, threshold autoregressive models …

Persistent link: https://www.econbiz.de/10011403581

External debt and real exchange rates' adjustment in the euro area : new evidence from a nonlinear NATREX model

Couharde, Cécile; Rey, Serge; Sallenave, Audrey - 2015

Persistent link: https://www.econbiz.de/10011734301

Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015

, including smooth transition regression models, logistic smooth transition regressions models, threshold autoregressive models …

Persistent link: https://www.econbiz.de/10011378229

Calculating the damage of a cartel subject to transition periods : the international uranium cartel in the 1970s

Lunde, Asger; Sandberg, Rickard; Söderberg, Magnus - In: Energy economics 84 (2019), pp. 1-11

Persistent link: https://www.econbiz.de/10012182897

Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?

Coudert, Virginie; Guillaumin, Cyriac; Raymond, Hélene - Centre d'études prospectives et d'informations … - 2014

We define “safe haven currencies” as those able to yield positive excess returns during crises and show that they are likely to have negative risk premia on the long-run. We try to identify them empirically by considering a sample of 26 currencies from advanced and emerging countries over a...

Persistent link: https://www.econbiz.de/10010827774

The Role of the Business Cycle in Exchange Rate Pass-Through: The Case of Finland

Cheikh, Nidhaleddine Ben; Rault, Christophe - William Davidson Institute, University of Michigan - 2014

In this paper we investigate whether exchange rate pass-through (ERPT) responds nonlinearly to economic activity along the business cycle. Using quarterly data spanning the period 1975:1 to 2011:1, we explore the existence of nonlinearities in ERPT to CPI inflation for the Finnish economy....

Persistent link: https://www.econbiz.de/10010936534