The ACR model: a multivariate dynamic mixture autoregression

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 autoregressi...

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Bibliographic details
Main Author: Bec, Frédérique
Rahbek, Anders
Shephard, Neil
Format: Paper
Language: English
Place of publication: 2008
Related: THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
Data of publication: 2008
Series: THEMA Working Papers
Online Access: available in Bonn?
Database: RePEc IDEAS
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