Bec, Frédérique; Rahbek, Anders; Shephard, Neil - Théorie Économique, Modélisation, Application … - 2008
In this paper we propose and analyse the Autoregressive Conditional Root (ACR) time series mmodel. It is a multivariate dynamic mixture autoregression which allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models such as e.g. the threshold...