Mixture periodic GARCH models : theory and applications
Fayçal Hamdi, Saïd Souam
| Year of publication: |
December 2018
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| Authors: | Hamdi, Fayçal ; Souam, Saïd |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 55.2018, 4, p. 1925-1956
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| Subject: | Mixture PGARCH models | Periodic stationarity | Higher-order moments | EM algorithm | Volatility forecasting | Exchange rates | Volatilität | Volatility | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | Algorithmus | Algorithm | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-017-1348-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011950345