Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
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DOI: 10.1080/07350015.2015.1123634
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- Zhu, Ke & Li, Wai Keung & Yu, Philip L.H., 2014. "Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates," MPRA Paper 53874, University Library of Munich, Germany.
References listed on IDEAS
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- Wang, Guochang & Zhu, Ke & Li, Guodong & Li, Wai Keung, 2022. "Hybrid quantile estimation for asymmetric power GARCH models," Journal of Econometrics, Elsevier, vol. 227(1), pages 264-284.
- Belarbi, Yacine & Hamdi, Fayçal & Khalfi, Abderaouf & Souam, Saïd, 2021.
"Growth, institutions and oil dependence: A buffered threshold panel approach,"
Economic Modelling, Elsevier, vol. 99(C).
- Saïd Souam & Yacine Belarbi & Faycal Hamdi & Abderaouf Khalfi, 2021. "Growth, institutions and oil dependence: a buffered threshold panel approach," Post-Print hal-03148732, HAL.
- Cathy W. S. Chen & Sangyeol Lee & K. Khamthong, 2021. "Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts," Computational Statistics, Springer, vol. 36(1), pages 261-281, March.
- Wenshan Wang & Xinyuan Song & Guichen Han & Kai Yang, 2025. "Bayesian empirical likelihood inference and order shrinkage for a hysteretic autoregressive model," Statistical Papers, Springer, vol. 66(2), pages 1-26, February.
- Guochang Wang & Ke Zhu & Guodong Li & Wai Keung Li, 2019. "Hybrid quantile estimation for asymmetric power GARCH models," Papers 1911.09343, arXiv.org.
- Mengya Liu & Qi Li & Fukang Zhu, 2020. "Self-excited hysteretic negative binomial autoregression," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(3), pages 385-415, September.
- Cathy W. S. Chen & Cindy T. H. Chien, 2024. "Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3447-3471, December.
- Cathy W. S. Chen & Hong Than-Thi & Manabu Asai, 2021. "On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 413-433, August.
- Cathy W. S. Chen & Edward M. H. Lin & Tara F. J. Huang, 2022. "Bayesian quantile forecasting via the realized hysteretic GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1317-1337, November.
- Karl-Heinz Schild & Karsten Schweikert, 2019. "On the Validity of Tests for Asymmetry in Residual-Based Threshold Cointegration Models," Econometrics, MDPI, vol. 7(1), pages 1-13, March.
- Tong, Howell, 2015. "Threshold models in time series analysis—Some reflections," Journal of Econometrics, Elsevier, vol. 189(2), pages 485-491.
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More about this item
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G1 - Financial Economics - - General Financial Markets
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