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Article: Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates

TitleBuffered autoregressive models with conditional heteroscedasticity: An application to exchange rates
Authors
Zhu, KLi, WKYu, PLH
KeywordsBuffered AR model
Buffered AR-GARCH model
Exchange rate
GARCH model
Nonlinear time series
Threshold AR model
Issue Date2017
PublisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandfonline.com/loi/ubes20
Citation
Journal of Business and Economic Statistics, 2017, v. 35 n. 4, p. 528-542 How to Cite?
DOI: http://dx.doi.org/10.1080/07350015.2015.1123634
Persistent Identifierhttp://hdl.handle.net/10722/249337
ISSN
0735-0015
2023 Impact Factor: 2.9
2023 SCImago Journal Rankings: 3.385
ISI Accession Number ID
WOS:000412614300003

 

DC FieldValueLanguage
dc.contributor.authorZhu, K-
dc.contributor.authorLi, WK-
dc.contributor.authorYu, PLH-
dc.date.accessioned2017-11-21T03:00:45Z-
dc.date.available2017-11-21T03:00:45Z-
dc.date.issued2017-
dc.identifier.citationJournal of Business and Economic Statistics, 2017, v. 35 n. 4, p. 528-542-
dc.identifier.issn0735-0015-
dc.identifier.urihttp://hdl.handle.net/10722/249337-
dc.languageeng-
dc.publisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandfonline.com/loi/ubes20-
dc.relation.ispartofJournal of Business and Economic Statistics-
dc.rightsThis is an electronic version of an article published in [include the complete citation information for the final version of the article as published in the print edition of the journal]. [JOURNAL TITLE] is available online at: http://www.informaworld.com/smpp/ with the open URL of your article.-
dc.subjectBuffered AR model-
dc.subjectBuffered AR-GARCH model-
dc.subjectExchange rate-
dc.subjectGARCH model-
dc.subjectNonlinear time series-
dc.subjectThreshold AR model-
dc.titleBuffered autoregressive models with conditional heteroscedasticity: An application to exchange rates-
dc.typeArticle-
dc.identifier.emailZhu, K: mazhuke@hku.hk-
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.identifier.emailYu, PLH: plhyu@hku.hk-
dc.identifier.authorityZhu, K=rp02199-
dc.identifier.authorityLi, WK=rp00741-
dc.identifier.authorityYu, PLH=rp00835-
dc.identifier.doi10.1080/07350015.2015.1123634-
dc.identifier.scopuseid_2-s2.0-85018715233-
dc.identifier.hkuros282704-
dc.identifier.volume35-
dc.identifier.issue4-
dc.identifier.spage528-
dc.identifier.epage542-
dc.identifier.isiWOS:000412614300003-
dc.publisher.placeUnited States-
dc.identifier.issnl0735-0015-

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