“…On the one hand, nonlinear models such as regime-switching models by Lewis (1995), Mundaca (2001), Kirikos (2002), Beine et al (2003), Lee and Chang (2007), and Beine et al (2009a), threshold autoregression (TAR) type models by Suardi (2008) and Beine et al (2009a), and autoregressive conditional heteroskedasticity (ARCH) type models by Beine et al (2002), Dominguez (1998Dominguez ( , 2006, and Beine et al (2009b) are estimated in the studies of exchange rate processes under official interventions. On the other hand, there are several pure theoretical works, especially from a continuous time framework, on studying the nonlinear process of the exchange rate under official intervention, e.g., Bertola and Caballero (1992), Lewis (1996), and Coles and Philippopoulos (1997) among others.…”