A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
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- McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
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More about this item
Keywords
Realized volatility; smooth transition; heterogeneous autoregression; financial econometrics; leverage; sign and size asymmetries; forecasting; risk management; model combination.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-06-11 (Econometrics)
- NEP-ETS-2007-06-11 (Econometric Time Series)
- NEP-FOR-2007-06-11 (Forecasting)
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