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A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994
Paya, I; Peel, D - Department of Economics, Management School - 2005
original structure of the estimated residuals and obtain new critical values of the coefficient estimates. A nonlinear (ESTAR …
Persistent link: https://www.econbiz.de/10011195936
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Temporal aggregation of an ESTAR process
Paya, I; Peel, D - Department of Economics, Management School - 2005
regarding the adjustment speeds. We examine the effects of different levels of temporal aggregation on estimates of ESTAR models …
Persistent link: https://www.econbiz.de/10011195993
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ESTAR model with multiple fixed points. Testing and Estimation
Venetis, I A; Paya, I; Peel, D - Department of Economics, Management School - 2009
In this paper we propose a globally stationary augmentation of the Exponential Smooth Transition Autoregressive (ESTAR … interest rate data for which we find evidence of the new ESTAR process. …
Persistent link: https://www.econbiz.de/10011165370