<progress id="hpfzt"><pre id="hpfzt"></pre></progress>
<ruby id="hpfzt"></ruby>
<big id="hpfzt"><p id="hpfzt"></p></big>

<progress id="hpfzt"></progress>

<big id="hpfzt"><pre id="hpfzt"></pre></big>

<i id="hpfzt"></i>

<strike id="hpfzt"><video id="hpfzt"><ins id="hpfzt"></ins></video></strike>
<dl id="hpfzt"></dl>
Mirror operated in collaboration with local support

### Current browse context:

econ.EM

### Bookmark

(what is this?)

# Title: A mixture autoregressive model based on Gaussian and Student's $t$-distributions

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.
 Subjects: Econometrics (econ.EM); Statistics Theory (math.ST); Methodology (stat.ME) MSC classes: 62M10 Cite as: arXiv:2003.05221 [econ.EM] (or arXiv:2003.05221v3 [econ.EM] for this version)

## Submission history

From: Savi Virolainen [view email]
[v1] Wed, 11 Mar 2020 11:16:36 GMT (96kb,D)
[v2] Tue, 17 Mar 2020 12:16:52 GMT (96kb,D)
[v3] Fri, 22 May 2020 15:16:44 GMT (100kb,D)
Æ´ÈýÕÅÓÎÏ·ÏÂÔØ