This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key ...

Two methods of parameter estimation for a general nonlinear autoregressive process with beta-ARCH innovations are discussed and the large sample properties of the estimators for each method are ...

A new form of non-linear autoregressive time series is proposed to model solar radiation data, by specifying joint marginal distributions at low lags to be multivariate Gaussian mixtures. The model is ...