التفاصيل البيبلوغرافية
| العنوان: |
A mixture autoregressive model based on Gaussian and Student's t-distributions. |
| المؤلفون: |
Virolainen, Savi |
| المصدر: |
Studies in Nonlinear Dynamics & Econometrics; Sep2022, Vol. 26 Issue 4, p559-580, 22p |
| مصطلحات موضوعية: |
AUTOREGRESSIVE models, FEDERAL funds market (U.S.), TREASURY bills, MIXTURES, INTEREST rates |
| مستخلص: |
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. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
Complementary Index |
