A long memory model with normal mixture GARCH

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

Sang-Kuck Chung, Yin-Wong Cheung

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

Recommendations

• On mixture memory GARCH models
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• Varieties of long memory models
• scientific article; zbMATH DE number 6951458
• Statistical inference for mixture GARCH models with financial application

zbMATH Keywords

conditional heteroskedasticitylong memorynormal mixtureinflation rate

Mathematics Subject Classification ID

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

Cites Work

• Autoregressive conditional heteroskedasticity and changes in regime
• Title not available (Why is that?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• Generalized method of moments specification testing
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Modeling volatility persistence of speculative returns: a new approach
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
• Title not available (Why is that?)
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Theory and inference for a Markov switching GARCH model
• Moments of Markov switching models
• Option Valuation with Normal Mixture GARCH Models
• Markov chain models, time series analysis and extreme value theory
• Skew-Normal Mixture and Markov-Switching GARCH Processes
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Multivariate mixed normal conditional heteroskedasticity
• Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
• Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
• Bayesian option pricing using mixed normal heteroskedasticity models
• Bayesian inference for the mixed conditional heteroskedasticity model

Cited In (6)

• Identification of long memory in GARCH models
• Long memory with Markov-switching GARCH
• Title not available (Why is that?)
• Periodic Long-Memory GARCH Models
• Covariance stationary GARCH-family models with long memory property
• Stable mixture GARCH models

This page was built for publication: A long memory model with normal mixture GARCH

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q656952)