Lin, Hsiou-Wei; Tai, Yun Chiang - In: Applied Financial Economics 19 (2009) 15, pp. 1223-1237
In this article, the nonparametric threshold autoregressive model for the Covered Interest Rate Parity (CIP) deviation is proposed. We provide a threshold estimation under the general equilibrium framework. The Keynes-Einzig conjecture based on market observation is verified. Within thresholds,...