We propose a convolution-based approach to the estimation of nonlinear autoregressive processes. The model allows for state-dependent autocorrelation, that is different persistence of the shocks in different phases of the market and dependent innovations, that is drawn from different distributions in different phases of the market.
Cherubini, U., Gobbi, F. (2013). A Convolution-based Autoregressive Process. In Copulae in Mathematical and Quantitative Finance. Proceedings of the Workshop Held in Cracow, 10-11 July 2012 (pp.1-16). Berlin/Heidelberg : Springer.
A Convolution-based Autoregressive Process
Gobbi F
2013-01-01
Abstract
We propose a convolution-based approach to the estimation of nonlinear autoregressive processes. The model allows for state-dependent autocorrelation, that is different persistence of the shocks in different phases of the market and dependent innovations, that is drawn from different distributions in different phases of the market.
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https://hdl.handle.net/11365/1150214