Common large innovations across nonlinear time series

DOI10.1515/SNDE-2012-0047MaRDI QIDQ5881691zbMATH OpenOpenAlexFDO

Authors Philip Hans Franses, Richard Paap

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2012-0047

zbMATH Keywords

censored latent effects autoregressioncommon featuresnonlinearity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(2)

• Testing for co-nonlinearity
• Common factors in conditional distributions for bivariate time series

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