CSpace  > 国家数学与交叉科学中心
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
Zhu, Ke1; Li, Wai Keung2; Yu, Philip L. H.2
2017-10-01
Source PublicationJOURNAL OF BUSINESS & ECONOMIC STATISTICS
ISSN0735-0015
Volume35Issue:4Pages:528-542
AbstractThis article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR model in Li et al. (2015), can capture the buffering phenomena of time series in both the conditional mean and variance. Thus, it provides us a new way to study the nonlinearity of time series. Compared with the existing AR-GARCH and threshold AR-GARCH models, an application to several exchange rates highlights the importance of the BAR-GARCH model.
KeywordBuffered AR-GARCH model Buffered AR model Exchange rate GARCH model Nonlinear time series Threshold AR model
DOI10.1080/07350015.2015.1123634
Language英语
Funding ProjectResearch Grants Council of the Hong Kong SAR Government (GRF)[HKU703711P] ; National Natural Science Foundation of China[11571348] ; National Natural Science Foundation of China[11371354] ; National Natural Science Foundation of China[71532013] ; Academy of Mathematics and System Science, Chinese Academy of Sciences[2014-cjrwlzx-zk] ; Key Laboratory of RCSDS, Chinese Academy of Sciences
WOS Research AreaBusiness & Economics ; Mathematical Methods In Social Sciences ; Mathematics
WOS SubjectEconomics ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS IDWOS:000412614300003
PublisherAMER STATISTICAL ASSOC
Citation statistics
Cited Times:4[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/26711
Collection国家数学与交叉科学中心
Affiliation1.Chinese Acad Sci, Inst Appl Math, Beijing, Peoples R China
2.Univ Hong Kong, Dept Stat & Actuarial Sci, Pokfulam Rd, Hong Kong, Hong Kong, Peoples R China
Recommended Citation
GB/T 7714
Zhu, Ke,Li, Wai Keung,Yu, Philip L. H.. Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS,2017,35(4):528-542.
APA Zhu, Ke,Li, Wai Keung,&Yu, Philip L. H..(2017).Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates.JOURNAL OF BUSINESS & ECONOMIC STATISTICS,35(4),528-542.
MLA Zhu, Ke,et al."Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates".JOURNAL OF BUSINESS & ECONOMIC STATISTICS 35.4(2017):528-542.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Zhu, Ke]'s Articles
[Li, Wai Keung]'s Articles
[Yu, Philip L. H.]'s Articles
Baidu academic
Similar articles in Baidu academic
[Zhu, Ke]'s Articles
[Li, Wai Keung]'s Articles
[Yu, Philip L. H.]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Zhu, Ke]'s Articles
[Li, Wai Keung]'s Articles
[Yu, Philip L. H.]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.