Multivariate mixed normal conditional heteroskedasticity
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Publication:1019987
DOI10.1016/J.CSDA.2006.10.012zbMath1161.62398OpenAlexW3122537114MaRDI QIDQ1019987
Jeroen V. K. Rombouts, Luc Bauwens, Christian M. Hafner
Publication date: 29 May 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://sites.uclouvain.be/econ/DP/IRES/2006-7.pdf
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- On a Mixture Autoregressive Model
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