Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
文献类型：期刊论文
| 作者 | Zhu, Ke1 ; Li, Wai Keung2; Yu, Philip L. H.2
|
| 刊名 | JOURNAL OF BUSINESS & ECONOMIC STATISTICS
 |
| 出版日期 | 2017-10-01 |
| 卷号 | 35期号:4页码:528-542 |
| 关键词 | Buffered AR-GARCH model Buffered AR model Exchange rate GARCH model Nonlinear time series Threshold AR model |
| ISSN号 | 0735-0015 |
| DOI | 10.1080/07350015.2015.1123634 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000412614300003 |
| 出版者 | AMER STATISTICAL ASSOC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/26710]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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