Buffered autoregressive models with conditional heteroscedasticity : an application to exchange rates
Ke Zhu, Wai Keung Li and Philip L.H. Yu
| Year of publication: |
October 2017
|
|---|---|
| Authors: | Zhu, Ke ; Li, Wai Keung ; Yu, Philip L. H. |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 35.2017, 4, p. 528-542
|
| Subject: | Buffered AR-GARCH model | Buffered AR model | Exchange rate | GARCH model | Nonlinear time series | Threshold AR model | Wechselkurs | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Heteroskedastizität | Heteroscedasticity | Volatilität | Volatility | Nichtlineare Regression | Nonlinear regression |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1123634 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011893733