Modeling High-Frequency Zeros in Time Series with Generalized Autoregressive Score Models with Explanatory Variables: An Application to Precipitation
Author:
Affiliation:
1. Departamento de Estadística, Facultad de Ciencias, Universidad del Bío-Bío, Concepción 4051381, Chile
2. Departamento de Enfermería, Facultad de Ciencias de la Salud y de los Alimentos, Universidad del Bío-Bío, Chillán 3800708, Chile
Abstract
Funder
Fondo de Apoyo a la Participación a Eventos Internacionales (FAPEI) at Universidad del Bío-Bío, Chile
Publisher
MDPI AG
Subject
Geometry and Topology,Logic,Mathematical Physics,Algebra and Number Theory,Analysis
Link
https://www.mdpi.com/2075-1680/13/1/15/pdf
Reference25 articles.
1. Generalized autoregressive score models with applications;Creal;J. Appl. Econom.,2013
2. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes;Hautsch;J. Financ. Econom.,2014
3. Modeling time series when some observations are zero;Harvey;J. Econom.,2020
4. Harvey, A.C. (2013). Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series, Cambridge University Press.
5. In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models;Blasques;Int. J. Forecast.,2016
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