A long memory model with normal mixture GARCH

DOI10.1007/s10614-011-9274-yzbMath1247.91206OpenAlexW1965389645MaRDI QIDQ656952

Sang-Kuck Chung, Yin-Wong Cheung

Publication date: 13 January 2012

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-011-9274-y

zbMATH Keywords

conditional heteroskedasticitylong memorynormal mixtureinflation rate

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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