Multivariate mixed normal conditional heteroskedasticity

Author:

Bauwens L.,Hafner C.M.,Rombouts J.V.K.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference16 articles.

1. Normal mixture GARCH(1,1);Alexander;J. Appl. Econometrics,2006

2. Multivariate GARCH models: a survey;Bauwens;J. Appl. Econometrics,2006

3. Bauwens, L., Preminger, A., Rombouts, J., 2006b. Regime-switching GARCH models. Revision of CORE Discussion Paper 2006-11.

4. Maximum likelihood from incomplete data via the EM algorithm (with discussion);Dempster;J. Roy. Statist. Soc. Ser. B,1977

5. Markov Chain Monte Carlo estimation of classical and dynamic switching and mixture models;Frühwirth-Schnatter;J. Amer. Statist. Assoc.,2001

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