Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
From MaRDI portal
Publication:6616629
DOI10.1080/07350015.2015.1123634zbMath1546.62992MaRDI QIDQ6616629
Philip L. H. Yu, Ke Zhu, Wai Keung Li
Publication date: 9 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Threshold models in time series analysis -- 30 years on
- On the least squares estimation of threshold autoregressive and moving-average models
- On the least squares estimation of multiple-regime threshold autoregressive models
- Testing for a linear MA model against threshold MA models
- Testing for threshold autoregression
- ARCH modeling in finance. A review of the theory and empirical evidence
- On a threshold autoregression with conditional heteroscedastic variances
- A floor and ceiling model of US output
- Generalized autoregressive conditional heteroscedasticity
- ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
- Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Testing a linear time series model against its threshold extension
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Hysteretic autoregressive time series models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Testing for threshold autoregression with conditional heteroscedasticity
- Testing and Modeling Multivariate Threshold Models
- Testing and Modeling Threshold Autoregressive Processes
- Testing for the buffered autoregressive processes
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Threshold heteroskedastic models
Related Items (2)
Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations ⋮ On a buffered threshold autoregressive stochastic volatility model
This page was built for publication: Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates