On buffered threshold Garch models

DOI10.5705/ss.2014.098tzbMath1356.62150OpenAlexW2520882638MaRDI QIDQ2828615

Pak Hang Lo, Guodong Li, Wai Keung Li, Philip L. H. Yu

Publication date: 26 October 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/236436

zbMATH Keywords

threshold modelGARCH modelQMLEbuffered threshold model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (3)

On the asymmetry in the volatility of financial time series: a buffered transition approach ⋮ Buffered vector error-correction models: an application to the U.S. Treasury bond rates ⋮ Smooth buffered autoregressive time series models

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