On a Mixture GARCH Time-Series Model (Q3440750): Difference between revisions

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+https://doi.org/10.1111/j.1467-9892.2006.00467.x
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+W2002513711
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+Generalized autoregressive conditional heteroscedasticity
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+Stationarity of GARCH processes and of some nonnegative time series
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+Random difference equations and renewal theory for products of random matrices
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+Convergence in distribution of products of random matrices
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+Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+Tail index estimation for dependent data
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+On a Mixture Autoregressive Conditional Heteroscedastic Model
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