Statistical inference for mixture GARCH models with financial application

DOI10.1007/S00180-021-01092-5MaRDI QIDQ2135925zbMATH OpenOpenAlexFDO

Authors Maddalena Cavicchioli

Publication date 10 May 2022

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-021-01092-5

zbMATH Keywords

estimationFisher information matrixMarkov switching modelsmixture GARCH modelsmodel selectionvolatility

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(18)

• Bayesian estimation of the Gaussian mixture GARCH model
• Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
• Skew-Normal Mixture and Markov-Switching GARCH Processes
• Generalized EGARCH Random Effect Models Application to Financial Time Series
• On a Mixture GARCH Time-Series Model
• Normal mixture quasi-maximum likelihood estimator for GARCH models
• scientific article; zbMATH DE number 6951458 (Why is no real title available?)
• Normal-\(\text{GIG}\left(\frac{3}{2},\delta,\gamma \right)\) mixture with application to financial data
• Concurrent processing of heteroskedastic vector-valued mixture density models
• A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models
• Statistical inference for measurement equation selection in the log-RealGARCH model
• Stable mixture GARCH models
• On mixture memory GARCH models
• Bayesian inference for the mixed conditional heteroskedasticity model
• Spectral analysis for GARCH processes through a bilinear representation
• A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency
• A long memory model with normal mixture GARCH
• The expectation-maximization algorithm for autoregressive models with normal inverse Gaussian innovations

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