On a Mixture GARCH Time-Series Model (Q3440750)

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On a Mixture GARCH Time-Series Model
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    title
    On a Mixture GARCH Time-Series Model (English)
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    author
    Wai Keung Li
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    Zhi-Qiang Zhang
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    Kam-Chuen Yuen
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    publication date
    29 May 2007
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    Mathematics Subject Classification ID
    62M10
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    65C60
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    91B28
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    zbMATH DE Number
    5158744
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    zbMATH Keywords
    stationary solution
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    moments
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    covariance
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    heavy tails
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    EM-algorithm
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    OpenAlex ID
    W2002513711
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