Multivariate mixed normal conditional heteroskedasticity

DOI10.1016/J.CSDA.2006.10.012zbMath1161.62398OpenAlexW3122537114MaRDI QIDQ1019987

Jeroen V. K. Rombouts, Luc Bauwens, Christian M. Hafner

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://sites.uclouvain.be/econ/DP/IRES/2006-7.pdf

zbMATH Keywords

EM algorithmfinite mixturemultivariate volatility

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

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• Regime switching for dynamic correlations
• A Computationally Efficient Feasible Sequential Quadratic Programming Algorithm
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• Finite mixture models
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• On a Mixture Autoregressive Model

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