Forecasting zero-inflated price changes with a Markov switching mixture model for autoregressive and heteroscedastic time series
Year of publication: |
July-September 2015
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Authors: | Kömm, Holger ; Küsters, Ulrich |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 3, p. 598-608
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Subject: | Agriculture | ARIMA models | GARCH models | Mixture models | Price forecasting | Time series | Volatility forecasting | Zero-inflated models | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätztheorie | Estimation theory |
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