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 ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...

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