Open AccessSETAR (Self-exciting Threshold Autoregressive) Non-linear Currency Modelling in EUR/USD, EUR/TRY and USD/TRY Parities
Author(s) -
Emrah Hanifi Fırat
Publication year - 2017
Publication title -
mathematics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.149
H-Index - 3
eISSN - 2332-2144
pISSN - 2332-2071
DOI - 10.13189/ms.2017.050105
Subject(s) - setar , mathematics , autoregressive model , econometrics , statistics , currency , threshold model , autoregressive integrated moving average , star model , economics , time series , monetary economics
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom