A long memory model with normal mixture GARCH

DOI10.1007/S10614-011-9274-YzbMATH Open1247.91206OpenAlexW1965389645MaRDI QIDQ656952FDOQ656952

Authors Yin-Wong Cheung, Sang-Kuck Chung

Publication date 13 January 2012

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10614-011-9274-y

zbMATH Keywords

conditional heteroskedasticitylong memorynormal mixtureinflation rate

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

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• Theory and inference for a Markov switching GARCH model

Cited in

(7)

• scientific article; zbMATH DE number 6951458 (Why is no real title available?)
• Long memory with Markov-switching GARCH
• On mixture memory GARCH models
• Covariance stationary GARCH-family models with long memory property
• Identification of long memory in GARCH models
• Stable mixture GARCH models
• Periodic Long-Memory GARCH Models

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