On a Mixture GARCH Time-Series Model
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Publication:3440750
DOI10.1111/j.1467-9892.2006.00467.xzbMath1115.62094OpenAlexW2002513711MaRDI QIDQ3440750
Wai Keung Li, Zhi-Qiang Zhang, Kam-Chuen Yuen
Publication date: 29 May 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00467.x
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- Stationarity of GARCH processes and of some nonnegative time series
- Random difference equations and renewal theory for products of random matrices
- Tail index estimation for dependent data
- Generalized autoregressive conditional heteroscedasticity
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Convergence in distribution of products of random matrices
- Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
- On a Mixture Autoregressive Conditional Heteroscedastic Model
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