A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory
Year of publication: |
2013-08-13
|
---|---|
Authors: | Nonejad, Nima |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Mixture innovation models | Markov chain Monte Carlo | Realized volatility |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | 2 pages long |
Classification: | C11 - Bayesian Analysis ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications |
Source: |
-
Santos, António Alberto, (2015)
-
Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach
Jacobson, Tor, (2002)
-
Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach
Jacobson, Tor, (2002)
- More ...
-
Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach
Nonejad, Nima, (2013)
-
Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008
Nonejad, Nima, (2013)
-
Forecasting with the Standardized Self-Perturbed Kalman Filter
Grassi, Stefano, (2014)
- More ...