Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
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Cites work
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- scientific article; zbMATH DE number 469136 (Why is no real title available?)
- scientific article; zbMATH DE number 1423406 (Why is no real title available?)
- Hysteretic autoregressive time series models
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- Testing and Modeling Threshold Autoregressive Processes
- Testing for a linear MA model against threshold MA models
- Testing for the buffered autoregressive processes
- Testing for threshold autoregression
- Testing for threshold autoregression with conditional heteroscedasticity
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Cited in
(7)- Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations
- On a buffered threshold autoregressive stochastic volatility model
- A novel double-banded-threshold mixture autoregressive model
- BRC-GARCH-X model: the empirical evidence in stock returns
- Empirical likelihood inference for a class of hysteretic autoregressive models
- Bayesian empirical likelihood inference and order shrinkage for a hysteretic autoregressive model
- An MCMC algorithm for bounded count time series hysteretic models with an application to disease infection
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