ON MIXTURE MEMORY GARCH MODELS

DOI10.1111/jtsa.12037zbMath1306.62201MaRDI QIDQ5408110

Wai Keung Li, Guodong Li, Muyi Li

Publication date: 8 April 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12037

zbMATH Keywords

EM algorithm; long memory in volatility; covariance stationarity; mixture ARCH(\(\infty\))

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

91B70: Stochastic models in economics

Related Items

Ian McLeod’s Contribution to Time Series Analysis—A Tribute, A new hyperbolic GARCH model, Stationarity and functional central limit theorem for ARCH(\(\infty\)) models

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