CSpace

Browse/Search Results:  1-3 of 3 Help

Selected(0)Clear Items/Page:    Sort:
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates 期刊论文
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2017, 卷号: 35, 期号: 4, 页码: 528-542
Authors:  Zhu, Ke;  Li, Wai Keung;  Yu, Philip L. H.
Favorite  |  View/Download:15/0  |  Submit date:2018/07/30
Buffered AR-GARCH model  Buffered AR model  Exchange rate  GARCH model  Nonlinear time series  Threshold AR model  
Nonparametric identification for nonlinear autoregressive time series models: Convergence rates 期刊论文
CHINESE ANNALS OF MATHEMATICS SERIES B, 1999, 卷号: 20, 期号: 2, 页码: 173-184
Authors:  Lu, ZD;  Cheng, P
Favorite  |  View/Download:4/0  |  Submit date:2018/07/30
nonlinear AR model  optimal convergence rates  Kernel approach  autoregression function  variance of white noise  consistency  
On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term 期刊论文
STATISTICA SINICA, 1998, 卷号: 8, 期号: 4, 页码: 1205-1217
Authors:  Lu, ZD
Favorite  |  View/Download:4/0  |  Submit date:2018/07/30
autoregression  beta-ARCH(p)  conditional heteroscedasticity  geometric ergodicity  Markov chain  nonlinear AR model with ARCH term