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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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Keyphrases
Root Model
100%
Autoregression
100%
Dynamic Mixtures
100%
Stationarity
50%
Transaction Costs
50%
Geometric Ergodicity
50%
Asymptotic Normality
50%
Real Exchange Rate
50%
Exchange Rate Data
50%
Nonlinear Dynamics
50%
Arbitrage
50%
Maximum Likelihood Estimator
50%
Time Series Model
50%
Threshold Autoregressive Model
50%
Nonlinear Model
50%
Switching Class
50%
Markov Switching
50%
Existence of Moments
50%
Mathematics
Autoregression
100%
Conditionals
100%
Maximum Likelihood Estimator
33%
Asymptotic Normality
33%
Threshold Autoregressive
33%
Arbitrage
33%
Stationarity
33%
Ergodicity
33%
Nonlinear Model
33%
Time Series Model
33%
Economics, Econometrics and Finance
Autoregression
100%
Transaction Costs
50%
Arbitrage
50%
Purchasing Power Parity
50%
Time Series
50%