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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
Alternatives
15%
Arbitrage
33%
Asymptotic Normality
23%
Autoregression
94%
Class
7%
Geometric Ergodicity
35%
Imply
16%
Innovation
26%
Markov Switching
35%
Maximum Likelihood Estimator
22%
Model
25%
Moment
17%
Nonlinear Dynamics
27%
Nonlinear Model
24%
Real Exchange Rate
47%
Roots
58%
Stationarity
27%
Time Series Models
28%
Transaction Costs
35%
Business & Economics
Alternatives
12%
Arbitrage
41%
Asymptotic Normality
34%
Autoregression
100%
Ergodicity
37%
Innovation
19%
Markov Switching
55%
Maximum Likelihood Estimator
30%
Nonlinear Dynamics
30%
Process Innovation
26%
Real Exchange Rate
24%
Stationarity
28%
Time Series Models
26%
Transaction Costs
36%
Social Sciences
innovation
24%
non-linear model
57%
normality
44%
time series
40%
transaction costs
46%