Detail Autoregressive Conditional Density Estimation   Oleh:  Hansen, Bruce E. Jenis: Article from Bulletin/Magazine Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 35 no. 3 (1994), page 705-730. Topik: autoregressive; autoregressive; conditional; density estimation Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: II49.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Isi artikel Engle's ARCH 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. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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