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There are many situations in which insurance companies operating in the Asian region encounter foreign exchange risk. This paper considers a stochastic threshold approach to modelling foreign exchange risks in some Association of Southeast Asian Nations (ASEAN) markets. The class of self-exciting threshold autoregressive (SETAR) models is used. These models are able to capture the exchange rate band phenomenon that has been discussed in the monetary economics literature. Both ordinary least squares and robust modelling procedures are considered.

On Robust Testing and Modelling of Threshold-Type Non-Linearity in ASEAN Foreign Exchange Markets