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

Felix Chan; Michael Mcaleer

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

Felix Chan, Michael Mcaleer

Graduate Research School

Research output: Chapter in Book/Conference paper › Conference paper › peer-review

Original language	English
Title of host publication	Proceedings of the International Conference on Modelling & Forecasting Financial Volatility
Editors	P.H. Franses, M. McAleer, F. Chan, S. Hoti, L.K. Lim
Place of Publication	Western Australia
Publisher	Uniprint
Pages	215-247
Volume	N/A
Edition	Uni of Western Australia
ISBN (Print)	1740520548
Publication status	Published - 2001
Event	Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers - Uni of Western Australia Duration: 1 Jan 2001 → …

Conference

Conference	Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers
Period	1/01/01 → …

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). 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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title = "Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers",

author = "Felix Chan and Michael Mcaleer",

year = "2001",

language = "English",

isbn = "1740520548",

volume = "N/A",

pages = "215--247",

editor = "P.H. Franses and M. McAleer and F. Chan and S. Hoti and L.K. Lim",

booktitle = "Proceedings of the International Conference on Modelling & Forecasting Financial Volatility",

publisher = "Uniprint",

edition = "Uni of Western Australia",

note = "Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers ; Conference date: 01-01-2001",

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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 paper › Conference paper › peer-review

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AU - Chan, Felix

AU - Mcaleer, Michael

PY - 2001

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M3 - Conference paper

SN - 1740520548

VL - N/A

SP - 215

EP - 247

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

A2 - Franses, P.H.

A2 - McAleer, M.

A2 - Chan, F.

A2 - Hoti, S.

A2 - Lim, L.K.

PB - Uniprint

CY - Western Australia

T2 - Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers

Y2 - 1 January 2001

ER -

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