Mixture periodic autoregressive conditional heteroskedastic models

DOI10.1016/J.CSDA.2008.06.019zbMATH Open1452.62618OpenAlexW1995431451MaRDI QIDQ1023922FDOQ1023922

Authors: Mohamed Bentarzi, Fayçal Hamdi 

Publication date: 16 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.06.019

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Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• Title not available (Why is that?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• Title not available (Why is that?)
• Bayesian estimation of the Gaussian mixture GARCH model
• On a Mixture GARCH Time-Series Model
• Multivariate mixed normal conditional heteroskedasticity
• Mixture periodic autoregressive time series models

Cited In (10)

• On an independent and identically distributed mixture bilinear time-series model
• Nonlinear time series modeling and forecasting for periodic and arch effects
• On Mixture Periodic Vector Autoregressive Models
• Probabilistic properties of a Markov-switching periodic GARCH process
• On periodic autoregressive stochastic volatility models: structure and estimation
• Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
• On mixture autoregressive conditional heteroskedasticity
• Moments of mixture periodic autoregressive models
• On mixture periodic Integer-Valued ARCH models
• Mixture periodic autoregression with periodic ARCH errors

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