Multivariate mixed normal conditional heteroskedasticity

Computational Statistics and Data Analysis

Volumn 51, Issue 7, 2007, Pages 3551-3566

  Bauwens, L ^a   Hafner, C M ^a   Rombouts, J V K ^b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b HEC MONTRÉAL   (Canada)

Author keywords

EM algorithm; Finite mixture; Multivariate volatility

Indexed keywords

ALGORITHMS; AUTOCORRELATION; COMPUTER SIMULATION; MATHEMATICAL MODELS; MATRIX ALGEBRA; TIME VARYING SYSTEMS;

EM ALGORITHMS; FINITE MIXTURES; MULTIVARIATE VOLATILITY; TIME VARYING COVARIANCE MATRIX;

TIME SERIES ANALYSIS;

EID: 33847665682     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.10.012     Document Type: Article

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