Solikhah, Arifatus; Kuswanto, Heri; Iriawan, Nur; … - In: Econometrics : open access journal 9 (2021) 3, pp. 1-35
for modeling nonlinear time series. The model consists of a mixture of K-component Fisher's z autoregressive models with … the mixing proportions changing over time. This model can capture time series with both heteroskedasticity and multimodal …