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Autoregressive conditional density estimation. (English) Zbl 0807.62090
Summary: R. F. Engle’s ARCH model [Econometrica 50, 987-1007 (1982; Zbl 0491.62099)] 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.

MSC:
62P20 Applications of statistics to economics
91B84 Economic time series analysis
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