Multivariate mixed normal conditional heteroskedasticity
type: Item
instance of: scholarly article
title: Multivariate mixed normal conditional heteroskedasticity
zbMATH Open document ID: 1161.62398
published in: Computational Statistics and Data Analysis
publication date: 2009-05-29T00:00:00Z
full work available at URL: 2006-7.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H12
zbMATH DE Number: 5559496
zbMATH Keywords: multivariate volatility
zbMATH Keywords: finite mixture
zbMATH Keywords: EM algorithm
author: Luc Bauwens
author: Christian M. Hafner
author: Jeroen V. K. Rombouts
MaRDI profile type: Publication
OpenAlex ID: W3122537114
cites work: Q4139463
cites work: Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
cites work: A computationally efficient feasible sequential quadratic programming algorithm
cites work: Q4716820
cites work: Finite mixture models
cites work: Regime switching for dynamic correlations
cites work: On a Mixture Autoregressive Model
cites work: On a Mixture Autoregressive Conditional Heteroscedastic Model
DOI: 10.1016/J.CSDA.2006.10.012
description: scientific article; zbMATH DE number 5559496