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Random coefficient mixture (RCM) GARCH models.

A. ThavaneswaranS. S. AppadooJagbir Singh
Published in: Math. Comput. Model. (2005)
Keyphrases
  • garch model
  • heavy tailed
  • mixture model
  • stock market
  • long term
  • multivariate time series
  • data analysis
  • feature vectors
  • expectation maximization
  • gaussian mixture model
  • gaussian distribution