Objects of nonstructural time series modeling (in Russian)

Stanislav Anatolyev

Quantile, 2013, issue 11, 1-12

Abstract: When modeling time series dynamics one has to decide on the class and type of models to use which depends much on the object to be modeled. This essay briefly overviews the specifics of time series modeling of various objects like conditional mean, conditional variance, conditional quantiles, conditional probabilities and conditional densities. We pay attention to both univariate and multivariate cases. References to narrower but more detailed surveys are given.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:qnt:quantl:y:2013:i:11:p:1-12

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