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Applied Economics Letters Volume 5, 1998 - Issue 7
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Original Articles

Testing for a unit root in ERM exchange rates in the presence of structural breaks: evidence from the bootstrap

Angelos Kanas
Pages 407-410 | Published online: 05 Oct 2010

Citations (15)

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Read on this site (3)

Sooyoung Cheon & Jaehee Kim. (2014) A Bayesian structural-change analysis via the stochastic approximation Monte Carlo and Gibbs sampler. Journal of Statistical Computation and Simulation 84:7, pages 1444-1470.
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Charalambos Pattichis. (2002) Mean reversion in target zones: a re-examination of some ERM exchange rates. Applied Economics 34:9, pages 1141-1145.
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Jiahui Wang & Eric Zivot. (2000) A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance. Journal of Business & Economic Statistics 18:3, pages 374-386.
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Articles from other publishers (12)

Cho-Hoi Hui, Chi-Fai Lo & Tom Pak-Wing Fong. (2016) Swiss franc's one-sided target zone during 2011–2015. International Review of Economics & Finance 44, pages 54-67.
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C.F. Lo, C.H. Hui, T. Fong & S.W. Chu. (2015) A quasi-bounded target zone model — Theory and application to Hong Kong dollar. International Review of Economics & Finance 37, pages 1-17.
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C.H. Hui & C.F. Lo. (2009) A note on estimating realignment probabilities – A first-passage-time approach. Journal of International Money and Finance 28:5, pages 804-812.
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C. H. Hui, C. F. Lo, V. Yeung & L. Fung. (2008) Valuing foreign currency options with a mean-reverting process: a study of Hong Kong dollar. International Journal of Finance & Economics 13:1, pages 118-134.
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C. H. Hui & C. F. Lo. (2006) Currency barrier option pricing with mean reversion. Journal of Futures Markets 26:10, pages 939-958.
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Xiaoming Li. (2002) A Quasi-Bayesian Analysis of Structural Breaks in China's Output and Productivity Series. SSRN Electronic Journal.
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Chi-Fai Lo & Cho-Hoi Hui. (2019) Unique Fundamental Dynamics of Target-Zone Exchange Rates. SSRN Electronic Journal.
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C. H. Hui, Chi-Fai Lo & Po-Hon Chau. (2017) Can Exchange Rate Dynamics in Krugman's Target-Zone Model Be Directly Tested?. SSRN Electronic Journal.
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C. H. Hui, Chi-Fai Lo & Po-Hon Chau. (2016) Can Exchange Rate Dynamics in Krugman's Target-Zone Model Be Directly Tested?. SSRN Electronic Journal.
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C. H. Hui, Chi-Fai Lo & Tom Fong. (2015) A Quasi-Bounded Model for Swiss Franc's One-Sided Target Zone During 2011-2015. SSRN Electronic Journal.
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Chi-Fai Lo, C. H. Hui, S.W. Chung & Tom Fong. (2012) A Quasi-Bounded Target Zone Model – Theory and Application to Hong Kong Dollar. SSRN Electronic Journal.
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C. H. Hui & Tom Fong. (2007) Is the Hong Kong Dollar Exchange Rate 'Bounded' in the Convertibility Zone?. SSRN Electronic Journal.
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