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Asymmetry and Non-Normality in the Dynamics of Onshore and Offshore Renminbi Markets

Li, Jie; Smallwood, Aaron - 2023

This paper implements a novel approach that allows for asymmetry in volatilities and idiosyncratic deviations from normality to address distinct features in the evolving relationship between onshore and offshore RMB exchange rate returns. Against a backdrop of growing integration since 2015, the...

Persistent link: https://www.econbiz.de/10014257082

Estimating cointegrating vectors using near unit root variables

Smallwood, Aaron D.; Norrbin, Stefan C. - In: Applied economics letters 11 (2004) 12, pp. 781-784

Persistent link: https://www.econbiz.de/10002244549

Mean reversion in the real interest rate and the effects of calculating expected inflation

Norrbin, Onsurang; Smallwood, Aaron D. - In: Southern economic journal 78 (2011) 1, pp. 107-130

Persistent link: https://www.econbiz.de/10009310081

Exchange rate shocks and trade : a multivariate GARCH-M approach

Grier, Kevin; Smallwood, Aaron D. - In: Journal of international money and finance 37 (2013), pp. 282-305

Persistent link: https://www.econbiz.de/10010209078

Long memory regressors and predictive testing : a two-stage rebalancing approach

Maynard, Alex; Smallwood, Aaron D.; Wohar, Mark E. - In: Econometric reviews 32 (2013) 1/4, pp. 318-360

Persistent link: https://www.econbiz.de/10009717790

Joint tests for non-linearity and long memory : the case of purchasing power parity

Smallwood, Aaron D. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10003283256

Generalized long memory processes, failure of cointegration tests and exchange rate dynamcis

Smallwood, Aaron D.; Norrbin, Stefan C. - In: Journal of applied econometrics 21 (2006) 4, pp. 409-417

Persistent link: https://www.econbiz.de/10003338620

An encompassing test of real interest rate equalization

Smallwood, Aaron D.; Norrbin, Stefan C. - In: Review of international economics 16 (2008) 1, pp. 114-126

Persistent link: https://www.econbiz.de/10003617383

A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data

Smallwood, Aaron D. - In: Econometric reviews 35 (2016) 5/7, pp. 986-1012

Persistent link: https://www.econbiz.de/10011590992

Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model

Smallwood, Aaron D. - In: Journal of international money and finance 27 (2008) 7, pp. 1161-1176

Persistent link: https://www.econbiz.de/10003780711