STATIONARITY AND β-MIXING PROPERTY OF A MIXTURE AR-ARCH MODELS

DOI10.4134/BKMS.2006.43.4.813zbMath1117.62094MaRDI QIDQ3595728

Oesook Lee

Publication date: 28 August 2007

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (1)

Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach

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