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On mixture memory GARCH models
Muyi LI,
Wai Keung LI
, Guodong LI
Department of Mathematics and Information Technology (MIT)
Research output
:
Contribution to journal
›
Articles
›
peer-review
19
Citations (Scopus)
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Keyphrases
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
100%
Generalized Autoregressive Conditional Heteroskedasticity Model
100%
Copyright
33%
Parameter Estimation Method
33%
Expectation-maximization Algorithm
33%
Volatility
33%
Random Coefficients
33%
Monte Carlo Experiment
33%
S&P 500
33%
Volatility Modelling
33%
Covariance Stationarity
33%
Mixture Components
33%
Model Selection Criteria
33%
Stationary Solution
33%
Fractionally Integrated
33%
Dynamic Mixtures
33%
Observed Information Matrix
33%
ARCH Process
33%
Mathematics
Conditionals
100%
GARCH Model
100%
Parameter Estimation
33%
Monte Carlo
33%
Information Matrix
33%
Covariance
33%
Stationarity
33%
Random Coefficient
33%
Stationary Solution
33%
Model Selection Criterion
33%