A mixture autoregressive model based on Gaussian and Student's $t$-distributions
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arXiv
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| Format: | Preprint |
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2020
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| _version_ | 1866917258121445376 |
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| author | Virolainen, Savi |
| author_facet | Virolainen, Savi |
| contents | We introduce a new mixture autoregressive model which combines Gaussian and Student's $t$ mixture components. The model has very attractive properties analogous to the Gaussian and Student's $t$ mixture autoregressive models, but it is more flexible as it enables to model series which consist of both conditionally homoscedastic Gaussian regimes and conditionally heteroscedastic Student's $t$ regimes. The usefulness of our model is demonstrated in an empirical application to the monthly U.S. interest rate spread between the 3-month Treasury bill rate and the effective federal funds rate. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2003_05221 |
| institution | arXiv |
| publishDate | 2020 |
| record_format | arxiv |
| spellingShingle | A mixture autoregressive model based on Gaussian and Student's $t$-distributions Virolainen, Savi Econometrics Statistics Theory Methodology 62M10 We introduce a new mixture autoregressive model which combines Gaussian and Student's $t$ mixture components. The model has very attractive properties analogous to the Gaussian and Student's $t$ mixture autoregressive models, but it is more flexible as it enables to model series which consist of both conditionally homoscedastic Gaussian regimes and conditionally heteroscedastic Student's $t$ regimes. The usefulness of our model is demonstrated in an empirical application to the monthly U.S. interest rate spread between the 3-month Treasury bill rate and the effective federal funds rate. |
| title | A mixture autoregressive model based on Gaussian and Student's $t$-distributions |
| topic | Econometrics Statistics Theory Methodology 62M10 |
| url | https://arxiv.org/abs/2003.05221 |