A long memory model with normal mixture GARCH (Q656952): Difference between revisions

@@ Property / DOI @@
-.1007/s10614-011-9274-y
@@ Property / DOI: 10.1007/s10614-011-9274-y / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10614-011-9274-y
+Normal rank
@@ Property / OpenAlex ID @@
+W1965389645
@@ Property / OpenAlex ID: W1965389645 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3703094
@@ Property / cites work: Q3703094 / rank @@
+Normal rank
@@ Property / cites work @@
+Option Valuation with Normal Mixture GARCH Models
@@ Property / cites work: Option Valuation with Normal Mixture GARCH Models / rank @@
+Normal rank
@@ Property / cites work @@
+Kurtosis of GARCH and stochastic volatility models with non-normal innovations
+Normal rank
@@ Property / cites work @@
+Q5841817
@@ Property / cites work: Q5841817 / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian inference for the mixed conditional heteroskedasticity model
+Normal rank
@@ Property / cites work @@
+Multivariate mixed normal conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Theory and inference for a Markov switching GARCH model
+Normal rank
@@ Property / cites work @@
+Modeling volatility persistence of speculative returns: a new approach
+Normal rank
@@ Property / cites work @@
+Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+Skew-Normal Mixture and Markov-Switching GARCH Processes
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Autoregressive conditional heteroskedasticity and changes in regime
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
+Normal rank
@@ Property / cites work @@
+On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Generalized method of moments specification testing
+Normal rank
@@ Property / cites work @@
+Markov chain models, time series analysis and extreme value theory
+Normal rank
@@ Property / cites work @@
+Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Bayesian option pricing using mixed normal heteroskedasticity models
+Normal rank
@@ Property / cites work @@
+Moments of Markov switching models
@@ Property / cites work: Moments of Markov switching models / rank @@
+Normal rank
@@ Property / cites work @@
+On a Mixture Autoregressive Conditional Heteroscedastic Model
+Normal rank
@@ Property / DOI @@
+.1007/S10614-011-9274-Y
@@ Property / DOI: 10.1007/S10614-011-9274-Y / rank @@
+Normal rank