Multivariate mixed normal conditional heteroskedasticity (Q1019987): Difference between revisions
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| Property / DOI | |||
| Property / DOI: 10.1016/j.csda.2006.10.012 / rank | |||
| Property / author | |||
| Property / author: Luc Bauwens / rank | |||
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| Property / author: Christian M. Hafner / rank | |||
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| Property / author: Jeroen V. K. Rombouts / rank | |||
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| Property / author: Luc Bauwens / rank | |||
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| Property / author: Christian M. Hafner / rank | |||
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| Property / author: Jeroen V. K. Rombouts / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / OpenAlex ID: W3122537114 / rank | |||
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| Property / cites work | |||
| Property / cites work: Q4139463 / rank | |||
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| Property / cites work: Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models / rank | |||
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| Property / cites work: A Computationally Efficient Feasible Sequential Quadratic Programming Algorithm / rank | |||
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| Property / cites work: Q4716820 / rank | |||
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| Property / cites work: Finite mixture models / rank | |||
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| Property / cites work: On a Mixture Autoregressive Model / rank | |||
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| Property / cites work: On a Mixture Autoregressive Conditional Heteroscedastic Model / rank | |||
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| Property / DOI | |||
| Property / DOI: 10.1016/J.CSDA.2006.10.012 / rank | |||
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Latest revision as of 13:22, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate mixed normal conditional heteroskedasticity |
scientific article |
Statements
Multivariate mixed normal conditional heteroskedasticity (English)
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29 May 2009
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multivariate volatility
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finite mixture
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EM algorithm
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