Autoregressive Conditional Density Estimation
R. F. Engle's autoregressive conditional heteroskedastic model is extended to permit parametric specifications for conditional dependence beyond the mean and variance. The suggestion is to model the conditional density with a small number of parameters, and then model these parameters as functions of the conditioning information. This method is applied to two data sets. The first application is to the monthly excess holding yield on U.S. Treasury securities, where the conditional density used is a Student's t distribution. The second application is to the U.S. Dollar/Swiss Franc exchange rate, using a new skewed Student t conditional distribution. Copyright 1994 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1992|
|Date of revision:|
|Contact details of provider:|| Postal: |
When requesting a correction, please mention this item's handle: RePEc:roc:rocher:322. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gabriel Mihalache)
If references are entirely missing, you can add them using this form.