We discuss the economic model and the econometric properties of the Convolution Autoregressive Process of order 1 (C-AR(1)), with focus on the simplest gaussian case. This is a first order autoregressive process in which the error terms are dependent on the lagged value of the process. We show...

This paper considers a class of C-convolution-based Markov models in which we assume that the error term is dependent on the first lagged state variable and the dependence structure is modeled by a copula function. Such models appear suitable for studying nonlinearity in time series. We show...