Mixture periodic autoregressive conditional heteroskedastic models
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Publication:1023922
DOI10.1016/j.csda.2008.06.019zbMath1452.62618OpenAlexW1995431451MaRDI 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
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (6)
On mixture periodic Integer-Valued ARCH models ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ Nonlinear time series modeling and forecasting for periodic and arch effects ⋮ On periodic autoregressive stochastic volatility models: structure and estimation ⋮ On an independent and identically distributed mixture bilinear time-series model ⋮ On Mixture Periodic Vector Autoregressive Models
Cites Work
- Bayesian estimation of the Gaussian mixture GARCH model
- Multivariate mixed normal conditional heteroskedasticity
- Estimating the dimension of a model
- Generalized autoregressive conditional heteroscedasticity
- Mixture periodic autoregressive time series models
- On a Mixture GARCH Time-Series Model
- 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
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