The ACR Model: A Multivariate Dynamic Mixture Autoregression
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DOI: 10.1111/j.1468-0084.2008.00512.x
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- 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.
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