On Robust Testing and Modelling of Threshold-Type Non-Linearity in ASEAN Foreign Exchange Markets

Chan Wai-Sum and Hung King-Chi
Additional contact information
Chan Wai-Sum: The Chinese University of Hong Kong
Hung King-Chi: The Chinese University of Hong Kong

Asia-Pacific Journal of Risk and Insurance, 2011, vol. 5, issue 2, 16

Abstract: There are many situations in which insurance companies operating in the Asian region encounter foreign exchange risk. This paper considers a stochastic threshold approach to modelling foreign exchange risks in some Association of Southeast Asian Nations (ASEAN) markets. The class of self-exciting threshold autoregressive (SETAR) models is used. These models are able to capture the exchange rate band phenomenon that has been discussed in the monetary economics literature. Both ordinary least squares and robust modelling procedures are considered.

Keywords: Exchange rate bands; SETAR models; outliers (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.2202/2153-3792.1110 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:apjrin:v:5:y:2011:i:2:n:3

Ordering information: This journal article can be ordered from
https://www.degruyte ... urnal/key/apjri/html

DOI: 10.2202/2153-3792.1110

Access Statistics for this article

Asia-Pacific Journal of Risk and Insurance is currently edited by Michael R. Powers

More articles in Asia-Pacific Journal of Risk and Insurance from De Gruyter
Bibliographic data for series maintained by Peter Golla ().