Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes
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Publication:834291
DOI10.1016/J.MATCOM.2008.07.011zbMATH Open1168.91468OpenAlexW1974486531MaRDI QIDQ834291FDOQ834291
Authors: N. E. Zubov 
Publication date: 19 August 2009
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.07.011
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Cites Work
- Estimating the dimension of a model
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On a Mixture Autoregressive Conditional Heteroscedastic Model
- On a Mixture Autoregressive Model
- On a mixture vector autoregressive model
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- Joint Estimation of Model Parameters and Outlier Effects in Time Series
- High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
Cited In (4)
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