Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes (Q834291)
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scientific article; zbMATH DE number 5596877
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| English | Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes |
scientific article; zbMATH DE number 5596877 |
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Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes (English)
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19 August 2009
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conditional volatility
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EM algorithm
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MARCH model
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outliers
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regime switches
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0.83533084
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0.82018864
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0.81257886
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0.8017289
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0.8005813
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