On mixture autoregressive conditional heteroskedasticity

Cavicchioli, M

Cavicchioli, M (reprint author), Univ Verona, Dept Econ, Via Cantarane 24, I-37129 Verona, Italy.

JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2018; 197 (): 35

Abstract

We consider mixture univariate autoregressive conditional heteroskedastic models, both with Gaussian or Student t-distributions, which were proposed i......

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