A Student t-mixture autoregressive model with applications to heavy-tailed financial data
DOI10.1093/BIOMET/ASP031zbMATH Open1170.62065OpenAlexW2167130157MaRDI QIDQ3399084FDOQ3399084
Authors:
Publication date: 29 September 2009
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/asp031
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EM algorithmsimulationsmixture distributioninterest ratenonlinear time series modelStudent \(t\)-distribution
Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Cited In (23)
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- Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets
- A mixture autoregressive model based on Student’s t–distribution
- Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
- A generalized Burr mixture autoregressive models for modeling non linear time series
- Student's \(t\) vector random fields with power-law and log-law decaying direct and cross covariances
- On mixture autoregressive conditional heteroskedasticity
- Portfolio selection based on semivariance and distance correlation under minimum variance framework
- Non-Gaussian autoregressive processes with Tukey \(g\)-and-\(h\) transformations
- Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory
- On Construction and Estimation of Stationary Mixture Transition Distribution Models
- Sampling-based inference of time deformation models with heavy tail distributions
- On polynomial extension of \(t\)-distribution and its financial applications
- Time series mixtures of generalized \(t\) experts: ML estimation and an application to stock return density forecasting
- Symmetrical and asymmetrical mixture autoregressive processes
- Mixtures of nonlinear Poisson autoregressions
- The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
- A mixture autoregressive model based on Gaussian and Student's \(t\)-distributions
- On the ergodicity of general mixture of linear autoregressive time series
- On the geometric ergodicity of the mixture autoregressive model
- Multivariate transformed Gaussian processes
- A mixture integer-valued ARCH model
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