ON MIXTURE MEMORY GARCH MODELS (Q5408110): Difference between revisions
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scientific article; zbMATH DE number 6281713
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON MIXTURE MEMORY GARCH MODELS |
scientific article; zbMATH DE number 6281713 |
Statements
ON MIXTURE MEMORY GARCH MODELS (English)
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8 April 2014
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long memory in volatility
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covariance stationarity
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mixture ARCH(\(\infty\))
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EM algorithm
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