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Conference Paper: On Buffered GARCH Models
| Title | On Buffered GARCH Models |
|---|---|
| Authors | |
| Issue Date | 2013 |
| Citation | The 9th ICSA International Conference: Challenges of Statistical Methods for Interdisciplinary Research and Big Data, Hong Kong Baptist University, Hong Kong, 20-23 December 2013 How to Cite? |
| Abstract | One limitation of the classical threshold models is that switching back and forth between regimes takes place at the same threshold. The buffered model removes this restriction. The buffered auto-regressive model includes the classical threshold auto-regressive model as a special case. The buffered GARCH model is an extension of this idea to model conditional heteroscedasticity in financial time series. Properties of the quasi likelihood estimator will be discussed. Applications to some real data will be reported. |
| Description | (SS006) Session Title: Statistics and Finance |
| Persistent Identifier | http://hdl.handle.net/10722/254594 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Li, WK | - |
| dc.date.accessioned | 2018-06-20T03:18:06Z | - |
| dc.date.available | 2018-06-20T03:18:06Z | - |
| dc.date.issued | 2013 | - |
| dc.identifier.citation | The 9th ICSA International Conference: Challenges of Statistical Methods for Interdisciplinary Research and Big Data, Hong Kong Baptist University, Hong Kong, 20-23 December 2013 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/254594 | - |
| dc.description | (SS006) Session Title: Statistics and Finance | - |
| dc.description.abstract | One limitation of the classical threshold models is that switching back and forth between regimes takes place at the same threshold. The buffered model removes this restriction. The buffered auto-regressive model includes the classical threshold auto-regressive model as a special case. The buffered GARCH model is an extension of this idea to model conditional heteroscedasticity in financial time series. Properties of the quasi likelihood estimator will be discussed. Applications to some real data will be reported. | - |
| dc.language | eng | - |
| dc.relation.ispartof | The ICSA International Conference: Challenges Of Statistical Methods For Interdisciplinary Research And Big Data | - |
| dc.title | On Buffered GARCH Models | - |
| dc.type | Conference_Paper | - |
| dc.identifier.email | Li, WK: hrntlwk@hkucc.hku.hk | - |
| dc.identifier.authority | Li, WK=rp00741 | - |
| dc.identifier.hkuros | 249428 | - |
| dc.publisher.place | China | - |