Wong, C. S.; Chan, W. S.; Kam, P. L. - In: Biometrika 96 (2009) 3, pp. 751-760
We introduce the class of Student t-mixture autoregressive models, which is promising for financial time series modelling. The model is able to capture serial correlations, time-varying means and volatilities, and the shape of the conditional distributions can be time varied from short-tailed to...