Dynamic Censored Regression and the Open Market Desk Reaction Function

DOI10.1198/jbes.2010.07181zbMath1209.91139OpenAlexW2168904205MaRDI QIDQ5392699

Robert M. de Jong, Ana María Herrera

Publication date: 13 April 2011

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2010.07181

zbMATH Keywords

censored regressiontobitCLADannouncement effectopen market operations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Censored data models (62N01) Economic time series analysis (91B84)

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