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Compound Autoregressive Models

Author

Listed:
  • Serge Darolles

    (Crest)

  • Christian Gourieroux

    (Crest)

  • Joanna Jasiak

    (Crest)

Abstract

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Suggested Citation

  • Serge Darolles & Christian Gourieroux & Joanna Jasiak, 2001. "Compound Autoregressive Models," Working Papers 2001-21, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2001-21
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    File URL: http://crest.science/RePEc/wpstorage/2001-21.pdf
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    Cited by:

    1. Donkers, A.C.D. & Schafgans, M., 2003. "A Derivative Based Estimator for Semiparametric Index Models," Other publications TiSEM 92ffa14b-de76-4309-8bee-1, Tilburg University, School of Economics and Management.
    2. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    3. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
    4. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
    5. Peter D Spencer, "undated". "Coupon Bond Valuation with a Non-Affine Discount Yield Model," Discussion Papers 03/16, Department of Economics, University of York.
    6. Donkers, Bas & Schafgans, Marcia M. A., 2005. "A method of moments estimator for semiparametric index models," LSE Research Online Documents on Economics 6815, London School of Economics and Political Science, LSE Library.
    7. Roberto Casarin, 2005. "Stochastic Processes in Credit Risk Modelling," Working Papers ubs0505, University of Brescia, Department of Economics.

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