Asymmetric heavy-tailed vector auto-regressive processes with application to financial data-Reference-Cited by-同舟云学术

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Asymmetric heavy-tailed vector auto-regressive processes with application to financial data

Published:2019-11-01 Issue:2 Volume:90 Page:324-340
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Maleki Mohsen¹^ORCID,Wraith Darren²,Mahmoudi Mohammad R.³,Contreras-Reyes Javier E.⁴

Affiliation:

1. Department of Statistics, Shiraz University, Shiraz, Iran

2. Institute of Health and Biomedical Innovation (IHBI), Queensland University of Technology (QUT), Brisbane, Australia

3. Department of Statistics, Faculty of Science, Fasa University, Fasa, Iran

4. Instituto de Estadística, Universidad de Valparaíso, Valparaíso, Chile

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/00949655.2019.1680675

Reference37 articles.

2. Estimation of VARMA Models

3. The Use of Varma Models in Forecasting Macroeconomic Indicators

4. Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm

5. Maximum likelihood estimation via the ECM algorithm: A general framework

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