Asymmetric heavy-tailed vector auto-regressive processes with application to financial data

DOI10.1080/00949655.2019.1680675OpenAlexW2984429807WikidataQ126841775 ScholiaQ126841775MaRDI QIDQ5107711

Javier E. Contreras-Reyes, Mohsen Maleki, Mohammad Reza Mahmoudi, Darren Wraith

Publication date: 28 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2019.1680675

zbMATH Keywords

outliersEM-type algorithmmultivariate time seriesasymmetric distributionsheavy tailed distributionsfinancial dataVAR processesscale mixtures of multivariate skew-normal

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (9)

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Uses Software

• JMulTi
• R
• vars

Cites Work

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