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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...

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Bibliographic Details
Authors and Corporations: Juvenal, Luciana (Author), Taylor, Mark P. (Other)
Other Authors: Taylor, Mark P.
Type of Resource: E-Book
Language: Undetermined
published:
[S.l.] SSRN [2008]
Series: FRB of St. Louis Working Paper
Source: Verbunddaten SWB
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