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Regime (non)stationarity in the US/UK real exchange rate

✍ Scribed by Angelos Kanas; Margarita Genius


Book ID
116421072
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
193 KB
Volume
87
Category
Article
ISSN
0165-1765

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A non-linear model of the real US/UK exc
✍ John Creedy; Jenny Lye; Vance L. Martin πŸ“‚ Article πŸ“… 1996 πŸ› John Wiley and Sons 🌐 English βš– 1018 KB

This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error correction model and estimates this by MLE methods. The derived distribution exhibits a wide variety of distributional shape