On mixture autoregressive conditional heteroskedasticity
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DOI: 10.1016/j.jspi.2017.12.002
Abstract: Abstract We consider mixture univariate autoregressive conditional heteroskedastic models, both with Gaussian or Student t -distributions, which were proposed in the literature for modeling nonlinear time series. We derive sufficient conditions for second order stationarity… read more here.
Keywords: autoregressive conditional; mixture; mixture autoregressive; conditional heteroskedasticity ... See more keywords