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Copulae in Mathematical and Quantitative Finance pp 1–15Cite as

A Convolution-Based Autoregressive Process

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Part of the book series: Lecture Notes in Statistics ((LNSP,volume 213))

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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Author information

Authors and Affiliations

  1. Department of Statistics, University of Bologna, Bologna, Italy

    Umberto Cherubini & Fabio Gobbi

Authors
  1. Umberto Cherubini
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  2. Fabio Gobbi
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Corresponding author

Correspondence to Umberto Cherubini .

Editor information

Editors and Affiliations

  1. Faculty of Mathematics, Informatics, and Mechanics, University of Warsaw, ul. Banacha 2, Warszawa, 02097, Poland

    Piotr Jaworski

  2. School of Economics and Management, Free University of Bozen-Bolzano, Piazza Università 1, Bozen, 39100, Italy

    Fabrizio Durante

  3. L.v.Bortkiewicz Chair of Statistics, C.A.S.E. Centre f. Appl. Stat. & Econ., Humboldt-Universität zu Berlin, Unter den Linden 6, Berlin, 10099, Germany

    Wolfgang Karl Härdle

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Cherubini, U., Gobbi, F. (2013). A Convolution-Based Autoregressive Process. In: Jaworski, P., Durante, F., Härdle, W. (eds) Copulae in Mathematical and Quantitative Finance. Lecture Notes in Statistics(), vol 213. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-35407-6_1

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