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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

Smooth transition models and arbitrage consistency

Peel, D; Venetis, I A - Department of Economics, Management School - 2005

conceptually superior to the ESTAR model since it is consistent with rational expectations. One of the advantages of the model is …

Persistent link: https://www.econbiz.de/10011165391

Forecasting performance of Logistic STAR exchange rate model: The original and reparameterised versions

Liew, Venus Khim-Sen; Baharumshah, Ahmad Zubaidi; Lau, … - Volkswirtschaftliche Fakultät, … - 2002

Exponential Smooth Transition Autoregressive (ESTAR) model is widely adopted in the exchange rate study as its … validity of this hypothesis that the ESTAR exchange rate model is superior to LSTAR exchange rate model on the basis of … version as well as the ESTAR model, which has thus far been deemed the most appropriate nonlinear exchange rate model. …

Persistent link: https://www.econbiz.de/10005623333

Arbitrage and convergence: Evidence from Mexican ADRs

Koumkwa, Samuel; Susmel, Raúl - In: Journal of Applied Economics XI (2008) November, pp. 399-425

size of the deviation from price parity. Based on different tests, we select the ESTAR model. Deviations from price parity …

Persistent link: https://www.econbiz.de/10005627093

Searching for Nonlinearities in Real Exchange Rates?

Ahmad, Yamin; Glosser, Stuart - Economics Department, University of Wisconsin-Whitewater - 2007

one of the three exchange rate series indicated to be an ESTAR process. Moreover, using simulations, we show that the …

Persistent link: https://www.econbiz.de/10005121171

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

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

Smooth Breaks and Nonlinear Mean Reversion: Post-Bretton Woods Real Exchange Rates

Dimitris, Christopoulos; Miguel, Leon-Ledesma - Volkswirtschaftliche Fakultät, … - 2009

mean changes and is hence compatible with long-run PPP. Nonlinear adjustment is modeled by means of an ESTAR model. Our … depreciation of the dollar in the 1980s and the ESTAR adjustment appears to play an important role. …

Persistent link: https://www.econbiz.de/10008560035

The Model of Commodity Prices after Sir Arthur Lewis Revisited

Ghoshray, A.; Perera, A. - Department of Economics, University of Bath - 2011

This paper builds on the work of Deaton and Laroque (2003) by formulating a nonlinear model of commodity prices. The paper makes three distinct contributions. First, a nonlinear model is constructed that explains long-run dynamics of commodity price behavior; secondly, more recent data is...

Persistent link: https://www.econbiz.de/10010900684