On mixture double autoregressive time series models
Year of publication: |
April 2017
|
---|---|
Authors: | Li, Guodong ; Zhu, Qianqian ; Liu, Zhao ; Li, Wai Keung |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 35.2017, 2, p. 306-317
|
Subject: | Double autoregressive model | EM algorithm | Mixture model | Stationarity | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Autokorrelation | Autocorrelation |
-
Prerequisites for modeling price and return data series for the Bucharest Stock Exchange
Tinca, Andrei, (2013)
-
Stationarity of econometric learning with bounded memory and a predicted state variable
Damjanovic, Tatiana, (2015)
-
Testing for strict stationarity in a random coefficient autoregressive model
Trapani, Lorenzo, (2021)
- More ...
-
Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation
Zhu, Qianqian, (2019)
-
Hybrid quantile regression estimation for time series models with conditional heteroscedasticity
Zheng, Yao, (2018)
-
Quantile Double Autoregression
Zhu, Qianqian, (2019)
- More ...