On a Mixture Autoregressive Conditional Heteroscedastic Model

DOI10.1198/016214501753208645zbMath1051.62091OpenAlexW2089791520MaRDI QIDQ4468303

Wai Keung Li, Chun Shan Wong

Publication date: 10 June 2004

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214501753208645

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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