Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model

DOI10.1016/j.matcom.2010.05.014zbMath1214.91143OpenAlexW2069382167MaRDI QIDQ543450

Yong-Cai Geng, Sumit K. Garg

Publication date: 17 June 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.05.014

zbMATH Keywords

multi-modalitymixture distributionnonlinear time series modelconditional leptokurtic distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (2)

On a constrained mixture vector autoregressive model ⋮ Estimation methods for expected shortfall

Uses Software

• FinTS

Cites Work

• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• On a logistic mixture autoregressive model
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A Student t-mixture autoregressive model with applications to heavy-tailed financial data
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• Analysis of Financial Time Series
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