Nonlinear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study
By M. E. Ellis. 2004
99 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/68bf9a8a7e5da1cb66349f9b924a779c1c6692f7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- B. Hansen
- Xinyu Zhang
- Donghyeon Kim
- Liangjun Su
- Guohua Zou
- L. Godfrey
- Giuseppe Cavaliere
- Mark F. J. Steel
Citations in the corpus
- Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought (2006, unknown): “(Some evidence that deviations from the LOP display nonlinearities of this kind is presented by Obstfeld and Taylor, 1997 and Sarno et al., 2004.)”
- Threshold autoregression in economics (2011, methodology): “A broad-based empirical investigation of PPP across exchange rates and sectors using TAR models was done by Sarno, Taylor and Chowdhury [70].”