Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates
Year of publication: |
2014-02-22
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Authors: | Zhu, Ke ; Li, Wai Keung ; Yu, Philip L.H. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Buffered AR model | Buffered AR-GARCH model | Exchange rate | GARCH model | Nonlinear time series | Threshold AR model |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C1 - Econometric and Statistical Methods: General ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; c58 ; G1 - General Financial Markets |
Source: |
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Zhu, Ke, (2017)
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Vatter, Thibault, (2015)
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Value at risk forecasting with the ARMA-GARCH family of models in times of increased volatility
Jánský, Ivo, (2011)
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Testing for the buffered autoregressive processes
Zhu, Ke, (2013)
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A new Pearson-type QMLE for conditionally heteroskedastic models
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A new Pearson-type QMLE for conditionally heteroskedastic models
Zhu, Ke, (2013)
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