A Student t-mixture autoregressive model with applications to heavy-tailed financial data
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Publication:3399084
DOI10.1093/biomet/asp031zbMath1170.62065MaRDI QIDQ3399084
No author found.
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
EM algorithm; simulations; interest rate; mixture distribution; nonlinear time series model; Student \(t\)-distribution
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F10: Point estimation
91B84: Economic time series analysis
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