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The ACR Model: A Multivariate Dynamic Mixture Autoregression.

Abstract:

In this paper we propose and analyse the Autoregressive Conditional Root (ACR) time series model. It is a multivariate dynamic mixture autoregression which allows for nonstationary epochs. It proves to be an appealing alternative to existing nonlinear models such as e.g. the threshold autoregressive or Markov switching classes of models, which are commonly used to describe nonlinear dynamics as implied by arbitrage in presence of transaction costs. Simple conditions on the parameters of the A...

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Volume:
2007OMI05
Series:
Working Papers
Publication date:
2007-11-01
URN:
uuid:7bc4a4e1-aabc-412b-9cd1-c2814093f0b7
Local pid:
oai:economics.ouls.ox.ac.uk:13046
Language:
English

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