Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates

DOI10.1080/07350015.2015.1123634MaRDI QIDQ6616629zbMATH OpenFDO

Authors Ke Zhu, Wai Keung Li, Philip L. H. Yu

Publication date 9 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(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

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