Multivariate mixed normal conditional heteroskedasticity (Q1019987)

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Multivariate mixed normal conditional heteroskedasticity
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    Statements

    title
    Multivariate mixed normal conditional heteroskedasticity (English)
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    publication date
    29 May 2009
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    zbMATH Keywords
    multivariate volatility
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    finite mixture
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    EM algorithm
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    author
    Luc Bauwens
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    Christian M. Hafner
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    Jeroen V. K. Rombouts
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62P05
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    62H12
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    zbMATH DE Number
    5559496
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    OpenAlex ID
    W3122537114
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