ON MIXTURE MEMORY GARCH MODELS

DOI10.1111/jtsa.12037zbMath1306.62201OpenAlexW1581900819MaRDI QIDQ5408110

Wai Keung Li, Guodong Li, Muyi Li

Publication date: 8 April 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12037

zbMATH Keywords

EM algorithmlong memory in volatilitycovariance stationaritymixture ARCH(\(\infty\))

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Stochastic models in economics (91B70)

Related Items (3)

A new hyperbolic GARCH model ⋮ Stationarity and functional central limit theorem for ARCH(\(\infty\)) models ⋮ Ian McLeod’s Contribution to Time Series Analysis—A Tribute

Cites Work

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