BibTeX
@MISC{Chou_smoothtransition,
author = {Ray Y Chou and Jiaquan Yao},
title = {Smooth Transition CARR Models},
year = {}
}
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Abstract
Abstract Motivated by smooth transition GARCH and smooth transition ACD models, we add smooth transition mechanism into the conditional mean equation of the Conditional AutoRegressive Range (CARR) model of Chou JEL codes: C22, C51, C52
