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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3768770 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian estimation of the Gaussian mixture GARCH model
• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• Mixture periodic autoregressive time series models
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• Multivariate mixed normal conditional heteroskedasticity
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• On a Mixture GARCH Time-Series Model

Cited in

(11)

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

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