Mixture periodic autoregressive conditional heteroskedastic models

DOI10.1016/j.csda.2008.06.019zbMath1452.62618MaRDI QIDQ1023922

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

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Nonlinear time series modeling and forecasting for periodic and arch effects, On Mixture Periodic Vector Autoregressive Models, On an independent and identically distributed mixture bilinear time-series model

Cites Work

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