A mixture autoregressive model based on Gaussian and Student’s t-distributions
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Abstract 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.
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2001 ◽
Vol 23
(1)
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pp. 73-97
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2021 ◽
Vol ahead-of-print
(ahead-of-print)
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2007 ◽
Vol 34
(2)
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pp. 90-102
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1990 ◽
Vol 45
(2)
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pp. 567-577
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2021 ◽
Vol 9
(1)
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pp. 40-47