On the stationary version of the generalized hyperbolic ARCH model

DOI10.1007/s10463-006-0052-xzbMath1332.62333OpenAlexW2122626031MaRDI QIDQ995800

Ramsés H. Mena, Stephen G. Walker

Publication date: 10 September 2007

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0052-x

zbMATH Keywords

EM algorithmARCHstationary processesgeneralized hyperbolic distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (3)

On a Construction of Stationary Processes via Bilateral Matrix-Exponential Distributions ⋮ Multivariate normal mean–variance mixture distribution based on Birnbaum–Saunders distribution ⋮ Bayesian consistency for Markov models

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