On mixture autoregressive conditional heteroskedasticity
DOI10.1016/j.jspi.2017.12.002zbMath1432.62292OpenAlexW2775745648MaRDI QIDQ1643793
Publication date: 20 June 2018
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2017.12.002
maximum likelihood estimatesstationaritynonlinear time series modelasymptotic Fisher information matrixmixture autoregressive conditional heteroskedastic model
Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
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Cites Work
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