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The ACR Model: A Multivariate Dynamic Mixture Autoregression
Frederique Bec,
Anders Christian Rahbek
, Neil Shephard
Department of Economics
28
Citations (Scopus)
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Dive into the research topics of 'The ACR Model: A Multivariate Dynamic Mixture Autoregression
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Mathematics
Autoregression
94%
Roots
58%
Real Exchange Rate
47%
Transaction Costs
35%
Geometric Ergodicity
35%
Markov Switching
35%
Arbitrage
33%
Time Series Models
28%
Stationarity
27%
Nonlinear Dynamics
27%
Innovation
26%
Model
25%
Nonlinear Model
24%
Asymptotic Normality
23%
Maximum Likelihood Estimator
22%
Moment
17%
Imply
16%
Alternatives
15%
Class
7%
Business & Economics
Autoregression
100%
Markov Switching
55%
Arbitrage
41%
Ergodicity
37%
Transaction Costs
36%
Asymptotic Normality
34%
Maximum Likelihood Estimator
30%
Nonlinear Dynamics
30%
Stationarity
28%
Time Series Models
26%
Process Innovation
26%
Real Exchange Rate
24%
Innovation
19%
Alternatives
12%
Social Sciences
non-linear model
57%
transaction costs
46%
normality
44%
time series
40%
innovation
24%