Open AccessDetecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
Author(s) -
Frédérique Bec,
Mélika Ben Salem,
Marine Carrasco
Publication year - 2010
Publication title -
annals of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.166
H-Index - 2
eISSN - 1968-3863
pISSN - 2115-4430
DOI - 10.2307/41219172
Subject(s) - purchasing power parity , autoregressive model , setar , unit root , exchange rate , econometrics , mean reversion , nonlinear system , spot contract , economics , limit (mathematics) , mathematics , unit root test , star model , statistics , autoregressive integrated moving average , time series , financial economics , cointegration , macroeconomics , mathematical analysis , physics , quantum mechanics , futures contract
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