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

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q3703094 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Valuation with Normal Mixture GARCH Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kurtosis of GARCH and stochastic volatility models with non-normal innovations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5841817 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian inference for the mixed conditional heteroskedasticity model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate mixed normal conditional heteroskedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Theory and inference for a Markov switching GARCH model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling volatility persistence of speculative returns: a new approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Skew-Normal Mixture and Markov-Switching GARCH Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive conditional heteroskedasticity and changes in regime / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional differencing / rank
 
Normal rank
Property / cites work
 
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? / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized method of moments specification testing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markov chain models, time series analysis and extreme value theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mixed Exponential Power Asymmetric Conditional Heteroskedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian option pricing using mixed normal heteroskedasticity models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Moments of Markov switching models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a Mixture Autoregressive Conditional Heteroscedastic Model / rank
 
Normal rank

Latest revision as of 19:49, 4 July 2024

scientific article
Language Label Description Also known as
English
A long memory model with normal mixture GARCH
scientific article

    Statements

    A long memory model with normal mixture GARCH (English)
    0 references
    0 references
    0 references
    13 January 2012
    0 references
    long memory
    0 references
    normal mixture
    0 references
    inflation rate
    0 references
    conditional heteroskedasticity
    0 references
    0 references
    0 references

    Identifiers