The ACR model: a multivariate dynamic mixture autoregression
Year of publication: |
2008
|
---|---|
Authors: | Bec, Frédérique ; Rahbek, Anders ; Shephard, Neil |
Institutions: | Théorie Économique, Modélisation, Application (THEMA), Université de Cergy-Pontoise |
Subject: | Dynamic mixture vector autoregressive mmodel | autoregressive conditional root model | ACR | regime switching | stochastic unit root | threshold autoregression |
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