Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

SSRN Electronic Journal
doi 10.2139/ssrn.892023
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

A Tutorial on Estimating Time-Varying Vector Autoregressive Models

Multivariate Behavioral Research
ArtsStatisticsProbabilityCognitive PsychologyHumanitiesMedicineExperimental
2020English

Mixture of Regression Models With Varying Mixing Proportions: A Semiparametric Approach

Journal of the American Statistical Association
UncertaintyStatisticsProbability
2012English

Semiparametric Autoregressive Conditional Proportional Hazard Models

SSRN Electronic Journal
2001English

Fitting Conditional and Simultaneous Autoregressive Spatial Models in HGLM

R Journal
UncertaintyNumerical AnalysisStatisticsProbability
2015English

Wavelet Based Time-Varying Vector Autoregressive Modelling

Computational Statistics and Data Analysis
StatisticsProbabilityApplied MathematicsComputational TheoryComputational MathematicsMathematics
2007English

The Macroeconomic Forecasting Performance of Autoregressive Models With Alternative Specifications of Time-Varying Volatility

Working paper (Federal Reserve Bank of Cleveland)
2012English

Root Tracking Using Time-Varying Autoregressive Moving Average Models and Sigma-Point Kalman Filters

Eurasip Journal on Advances in Signal Processing
HardwareElectronic EngineeringSignal ProcessingElectricalArchitecture
2020English

Autoregressive Conditional Kurtosis

Journal of Financial Econometrics
EconomicsEconometricsFinance
2005English

Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean

Journal of Time Series Analysis
UncertaintyApplied MathematicsStatisticsProbability
2014English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy