Threshold Adjustment of Deviations from the Law of One Price
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Publication:3574730
DOI10.2202/1558-3708.1520zbMath1193.91174OpenAlexW2042876504MaRDI QIDQ3574730
Luciana Juvenal, Mark P. Taylor
Publication date: 2 July 2010
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/885/1/WRAP_Taylor_Threshold_adjustment.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Penalized estimation of threshold auto-regressive models with many components and thresholds ⋮ The purchasing power parity fallacy: time to reconsider the PPP hypothesis ⋮ Outliers and persistence in threshold autoregressive processes
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