Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model (Q4914961): Difference between revisions

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+The impact of general non-parametric volatility functions in multivariate GARCH models
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+Q4523870
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+Bayesian estimation of the Gaussian mixture GARCH model
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+Mixture Densities, Maximum Likelihood and the EM Algorithm
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+On a Mixture Autoregressive Conditional Heteroscedastic Model
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+A Comparison of Minimum Distance and Maximum Likelihood Estimation of a Mixture Proportion
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+Testing the stable Paretian assumption
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+Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
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+Consistent estimation of a mixing distribution
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+Note on the consistency of the maximum likelihood estimate for nonidentifiable distributions
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+Stationarity of GARCH processes and of some nonnegative time series
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