Mixture periodic autoregressive conditional heteroskedastic models

DOI10.1016/j.csda.2008.06.019zbMath1452.62618OpenAlexW1995431451MaRDI QIDQ1023922

Mohamed Bentarzi, Fayçal Hamdi

Publication date: 16 June 2009

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

Full work available at URL: https://doi.org/10.1016/j.csda.2008.06.019

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

On mixture periodic Integer-Valued ARCH models ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ Nonlinear time series modeling and forecasting for periodic and arch effects ⋮ On periodic autoregressive stochastic volatility models: structure and estimation ⋮ On an independent and identically distributed mixture bilinear time-series model ⋮ On Mixture Periodic Vector Autoregressive Models

Cites Work

• Bayesian estimation of the Gaussian mixture GARCH model
• Multivariate mixed normal conditional heteroskedasticity
• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• Mixture periodic autoregressive time series models
• On a Mixture GARCH Time-Series Model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
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