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On a Mixture Autoregressive Conditional Heteroscedastic Model

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  • Wong C.S.
  • Li W.K.

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  • Wong C.S. & Li W.K., 2001. "On a Mixture Autoregressive Conditional Heteroscedastic Model," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 982-995, September.
    • Handle: RePEc:bes:jnlasa:v:96:y:2001:m:september:p:982-995
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    Cited by:

    1. Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
    2. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
    3. Chin-Ping King, 2012. "Half Life of the Real Exchange Rate: Evidence from the Nonlinear Approach in Emerging Economies," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 8(1), pages 1-23, January.
    4. Panos Pouliasis & Ioannis Kyriakou & Nikos Papapostolou, 2017. "On equity risk prediction and tail spillovers," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(4), pages 379-393, October.

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