Skew-Normal Mixture and Markov-Switching GARCH Processes
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Publication:3064340
DOI10.2202/1558-3708.1765zbMath1202.62117OpenAlexW2029466560MaRDI QIDQ3064340
Publication date: 21 December 2010
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1558-3708.1765
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistical tables (62Q05)
Related Items (6)
Maximum likelihood estimation of the Markov-switching GARCH model ⋮ Statistical inference for mixture GARCH models with financial application ⋮ Risk measures for skew normal mixtures ⋮ A long memory model with normal mixture GARCH ⋮ Unnamed Item ⋮ A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
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