Working paper
The ACR Model: A Multivariate Dynamic Mixture Autoregression.
- Abstract:
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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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Bibliographic Details
- Publisher:
- Oxford-Man Institute of Quantitative Finance
- Series:
- Working Papers
- Publication date:
- 2007-11-01
Item Description
- Language:
- English
- UUID:
-
uuid:7bc4a4e1-aabc-412b-9cd1-c2814093f0b7
- Local pid:
- oai:economics.ouls.ox.ac.uk:13046
- Deposit date:
- 2011-08-16
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- Copyright date:
- 2007
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