A Student t-mixture autoregressive model with applications to heavy-tailed financial data
From MaRDI portal
Publication:3399084
Recommendations
- Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model
- The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
- Stable GARCH models for financial time series
- On mixture autoregressive conditional heteroskedasticity
- Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
Cited in
(23)- Student's \(t\) vector random fields with power-law and log-law decaying direct and cross covariances
- On polynomial extension of \(t\)-distribution and its financial applications
- Non-Gaussian autoregressive processes with Tukey \(g\)-and-\(h\) transformations
- On Construction and Estimation of Stationary Mixture Transition Distribution Models
- Portfolio selection based on semivariance and distance correlation under minimum variance framework
- Time series mixtures of generalized \(t\) experts: ML estimation and an application to stock return density forecasting
- On the ergodicity of general mixture of linear autoregressive time series
- Symmetrical and asymmetrical mixture autoregressive processes
- Multivariate transformed Gaussian processes
- Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model
- On a constrained mixture vector autoregressive model
- Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets
- The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
- Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory
- A mixture autoregressive model based on Student’s t–distribution
- Mixtures of nonlinear Poisson autoregressions
- 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
- Sampling-based inference of time deformation models with heavy tail distributions
- A mixture integer-valued ARCH model
- A mixture autoregressive model based on Gaussian and Student's \(t\)-distributions
- On mixture autoregressive conditional heteroskedasticity
- On the geometric ergodicity of the mixture autoregressive model
This page was built for publication: A Student t-mixture autoregressive model with applications to heavy-tailed financial data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3399084)
