Previous time series applications of qualitative response models have ignored features of the data, such as conditional heteroscedasticity, that are routinely addressed in time series econometrics of ...
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...
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