On a mixture GARCH time-series model

Journal of Time Series Analysis

Volumn 27, Issue 4, 2006, Pages 577-597

  Zhang, Zhiqiang ^a,b   Li, Wai Keung ^a   Yuen, Kam Chuen ^a  

^a EAST CHINA NORMAL UNIVERSITY   (China)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

GARCH; MGARCH; Stochastic difference equation; Tail behaviour; Volatility clustering

Indexed keywords

EID: 33745328190     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2006.00467.x     Document Type: Article

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