Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers

Felix Chan, Michael Mcaleer

Research output: Chapter in Book/Conference paperConference paper

Original languageEnglish
Title of host publicationProceedings of the International Conference on Modelling & Forecasting Financial Volatility
EditorsP.H. Franses, M. McAleer, F. Chan, S. Hoti, L.K. Lim
Place of PublicationWestern Australia
PublisherUniprint
Pages215-247
VolumeN/A
EditionUni of Western Australia
ISBN (Print)1740520548
Publication statusPublished - 2001
EventEstimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers - Uni of Western Australia
Duration: 1 Jan 2001 → …

Conference

ConferenceEstimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers
Period1/01/01 → …

Cite this

Chan, F., & Mcaleer, M. (2001). Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers. In P. H. Franses, M. McAleer, F. Chan, S. Hoti, & L. K. Lim (Eds.), Proceedings of the International Conference on Modelling & Forecasting Financial Volatility (Uni of Western Australia ed., Vol. N/A, pp. 215-247). Western Australia: Uniprint.
Chan, Felix ; Mcaleer, Michael. / Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers. Proceedings of the International Conference on Modelling & Forecasting Financial Volatility. editor / P.H. Franses ; M. McAleer ; F. Chan ; S. Hoti ; L.K. Lim. Vol. N/A Uni of Western Australia. ed. Western Australia : Uniprint, 2001. pp. 215-247
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Chan, F & Mcaleer, M 2001, Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers. in PH Franses, M McAleer, F Chan, S Hoti & LK Lim (eds), Proceedings of the International Conference on Modelling & Forecasting Financial Volatility. Uni of Western Australia edn, vol. N/A, Uniprint, Western Australia, pp. 215-247, Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers, 1/01/01.

Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers. / Chan, Felix; Mcaleer, Michael.

Proceedings of the International Conference on Modelling & Forecasting Financial Volatility. ed. / P.H. Franses; M. McAleer; F. Chan; S. Hoti; L.K. Lim. Vol. N/A Uni of Western Australia. ed. Western Australia : Uniprint, 2001. p. 215-247.

Research output: Chapter in Book/Conference paperConference paper

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AU - Mcaleer, Michael

PY - 2001

Y1 - 2001

M3 - Conference paper

SN - 1740520548

VL - N/A

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BT - Proceedings of the International Conference on Modelling & Forecasting Financial Volatility

A2 - Franses, P.H.

A2 - McAleer, M.

A2 - Chan, F.

A2 - Hoti, S.

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PB - Uniprint

CY - Western Australia

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Chan F, Mcaleer M. Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers. In Franses PH, McAleer M, Chan F, Hoti S, Lim LK, editors, Proceedings of the International Conference on Modelling & Forecasting Financial Volatility. Uni of Western Australia ed. Vol. N/A. Western Australia: Uniprint. 2001. p. 215-247