Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates

doi:10.1080/07350015.2015.1123634

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	Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
	Zhu, Ke1 ; Li, Wai Keung 2; Yu, Philip L. H.2
	2017-10-01
发表期刊	JOURNAL OF BUSINESS & ECONOMIC STATISTICS
ISSN	0735-0015
卷号	35 期号:4 页码:528-542
摘要	This 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.
关键词	Buffered AR-GARCH model Buffered AR model Exchange rate GARCH model Nonlinear time series Threshold AR model
DOI	10.1080/07350015.2015.1123634
语种	英语
资助项目	Research 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研究方向	Business & Economics ; Mathematical Methods In Social Sciences ; Mathematics
WOS类目	Economics ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000412614300003
出版者	AMER STATISTICAL ASSOC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/26711
专题	国家数学与交叉科学中心
通讯作者	Zhu, Ke
作者单位	1.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
推荐引用方式 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.