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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
16
Citations (Scopus)
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Mathematics
Memory Model
100%
GARCH Model
95%
Conditional Heteroskedasticity
52%
GARCH
30%
Volatility
26%
Model
23%
Observed Information
16%
ARCH Models
15%
Model Selection Criteria
15%
Information Matrix
14%
Monte Carlo Experiment
14%
Random Coefficients
13%
Standard error
12%
Stationary Solutions
11%
Parameter Estimation
10%
Demonstrate
7%
Business & Economics
GARCH Model
73%
Generalized Autoregressive Conditional Heteroskedasticity
53%
GARCH
28%
Model Selection Criteria
19%
Random Coefficients
18%
S&P 500 Index
16%
ARCH Models
16%
Volatility Models
16%
Parameter Estimation
16%
Monte Carlo Experiment
16%
Standard Error
16%
Stationarity
15%
Matrix
12%
Integrated
8%
Engineering & Materials Science
Data storage equipment
43%
Random processes
10%
Parameter estimation
9%
Experiments
3%