Bec, Frédérique; Rahbek, Anders; Shephard, Neil - In: Oxford Bulletin of Economics and Statistics 70 (2008) 5, pp. 583-618
This paper proposes and analyses the autoregressive conditional root (ACR) time-series model. This multivariate dynamic mixture autoregression allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models, e.g. the threshold autoregressive or Markov...
