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ON MIXTURE MEMORY GARCH MODELS - MaRDI portal

ON MIXTURE MEMORY GARCH MODELS (Q5408110)

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scientific article; zbMATH DE number 6281713
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English
ON MIXTURE MEMORY GARCH MODELS
scientific article; zbMATH DE number 6281713

    Statements

    title
    ON MIXTURE MEMORY GARCH MODELS (English)
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    author
    Muyi Li
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    Wai Keung Li
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    Guodong Li
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    publication date
    8 April 2014
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    zbMATH Keywords
    long memory in volatility
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    covariance stationarity
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    mixture ARCH(\(\infty\))
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    EM algorithm
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    Identifiers

    DOI
    10.1111/jtsa.12037
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    Mathematics Subject Classification ID
    62M10
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    62P05
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    91B70
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    91B84
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    zbMATH DE Number
    6281713
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    OpenAlex ID
    W1581900819
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