On buffered threshold GARCH models

DOI10.5705/SS.2014.098TMaRDI QIDQ2828615zbMATH OpenOpenAlexFDO

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

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

buffered threshold modelGARCH modelQMLEthreshold model

Mathematics Subject Classification ID

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

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(7)

• Smooth buffered autoregressive time series models
• Buffered vector error-correction models: an application to the U.S. Treasury bond rates
• On the asymmetry in the volatility of financial time series: a buffered transition approach
• Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations
• On a buffered threshold autoregressive stochastic volatility model
• BRC-GARCH-X model: the empirical evidence in stock returns
• Self-excited hysteretic integer-valued autoregressive processes

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