Tid: 30 september 2002 kl 1515-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Stefan Lundbergh, Skandia Liv Kapitalförvaltning.
Titel: A smooth transition target zone model
Sammanfattning: We introduce a flexible target zone model that is capable of capturing the dynamic behaviour of an exchange rate implied by various theoretical target zone models. The model framework also enables the modeller to estimate an implicit band if such exists. A modelling cycle consisting of specification, estimation and evaluation stages is constructed. We illustrate the model by applying it to two series of daily observations from the latter part of the 1980's, the Swedish and the Norwegian exchange rates. The talk is based on a joint paper with Timo Teräsvirta.
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