Zhu, Ke; Li, Wai Keung; Yu, Philip L.H. - Volkswirtschaftliche Fakultät, … - 2014
This paper introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroskedasticity (BAR-GARCH). The proposed model, as an extension of the BAR model in Li et al. (2013), can capture the buffering phenomenon of time series in both conditional...