ON MIXTURE MEMORY GARCH MODELS (Q5408110)

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scientific article; zbMATH DE number 6281713
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ON MIXTURE MEMORY GARCH MODELS
scientific article; zbMATH DE number 6281713

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    ON MIXTURE MEMORY GARCH MODELS (English)
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    8 April 2014
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    long memory in volatility
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    covariance stationarity
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    mixture ARCH(\(\infty\))
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    EM algorithm
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