Modeling maxima with autoregressive conditional Fréchet model
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2018.07.004
Abstract: This paper introduces a novel dynamic generalized extreme value (GEV) framework for modeling the time-varying behavior of maxima in financial time series. Specifically, an autoregressive conditional Frechet (AcF) model is proposed in which the maxima… read more here.
Keywords: acf; autoregressive conditional; time varying; time ... See more keywords
On mixture autoregressive conditional heteroskedasticity
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Statistical Planning and Inference"
DOI: 10.1016/j.jspi.2017.12.002
Abstract: Abstract We consider mixture univariate autoregressive conditional heteroskedastic models, both with Gaussian or Student t -distributions, which were proposed in the literature for modeling nonlinear time series. We derive sufficient conditions for second order stationarity… read more here.
Keywords: autoregressive conditional; mixture; mixture autoregressive; conditional heteroskedasticity ... See more keywords