Nonlinear mean reversion in real exchange rates: threshold autoregressive models and stochastic unit root processes

2010 ◽  
Vol 17 (8) ◽  
pp. 797-804 ◽  
Author(s):  
Gawon Yoon
Keyword(s):  
Exchange Rates ◽  
Unit Root ◽  
Real Exchange Rates ◽  
Mean Reversion ◽  
Autoregressive Models ◽  
Threshold Autoregressive ◽  
Nonlinear Mean Reversion

Nonlinear mean-reversion in Southeast Asian real exchange rates

2011 ◽  
Vol 21 (19) ◽  
pp. 1409-1421 ◽  
Author(s):  
Doo-Yull Choi ◽  
Bong-Han Kim ◽  
See-Won Kim
Keyword(s):  
Exchange Rates ◽  
Real Exchange Rates ◽  
Mean Reversion ◽  
Southeast Asian ◽  
Nonlinear Mean Reversion

Nonlinear mean reversion in real exchange rates

2002 ◽  
Vol 77 (3) ◽  
pp. 411-417 ◽  
Author(s):  
Georgios E. Chortareas ◽  
George Kapetanios ◽  
Yongcheol Shin
Keyword(s):  
Exchange Rates ◽  
Real Exchange Rates ◽  
Mean Reversion ◽  
Nonlinear Mean Reversion

More powerful panel data unit root tests with an application to mean reversion in real exchange rates

2004 ◽  
Vol 19 (2) ◽  
pp. 147-170 ◽  
Author(s):  
L. Vanessa Smith ◽  
Stephen Leybourne ◽  
Tae-Hwan Kim ◽  
Paul Newbold
Keyword(s):  
Panel Data ◽  
Exchange Rates ◽  
Unit Root ◽  
Real Exchange Rates ◽  
Mean Reversion ◽  
Unit Root Tests
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