Mixture periodic GARCH models : theory and applications
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 | Theorie | Theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
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