Threshold Adjustment in Deviations from the Law of One Price
Using self-exciting threshold autoregressive models, we explore the validity of the law of one price (LOOP) for sixteen sectors in nine European countries. We and strong evidence of nonlinear mean reversion in deviations from the LOOP and highlight the importance of modelling the real exchange rate...
|Authors and Corporations:||,|
|Other Authors:||Taylor, Mark P.|
|Type of Resource:||E-Book|
[S.l.] SSRN 
FRB of St. Louis Working Paper