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On a mixture autoregressive model

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Author Info
C. S. Wong
W. K. Li
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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1467-9868.00222
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Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series B (Methodological).

Volume (Year): 62 (2000)
Issue (Month): 1 ()
Pages: 95-115
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Handle: RePEc:bla:jorssb:v:62:y:2000:i:1:p:95-115

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  1. Lanne , Markku, 2002. "Nonlinear dynamics of interest rate and inflation," Research Discussion Papers 21/2002, Bank of Finland. [Downloadable!]
    Other versions:
  2. Alberto Suárez & Santiago Carrillo, 2003. "Computational Tools for the Analysis of Market Risk," Computational Economics, Springer, vol. 21(1), pages 153-172, February. [Downloadable!] (restricted)
  3. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Other versions:
  4. Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 0749, CIRPEE. [Downloadable!]
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