Estimation of a utility-based asset pricing model using normal mixture GARCH(1,1)-Reference-Cited by-同舟云学术

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Estimation of a utility-based asset pricing model using normal mixture GARCH(1,1)

Published:2007-03 Issue:2 Volume:24 Page:329-349
ISSN:0264-9993
Container-title:Economic Modelling
language:en
Short-container-title:Economic Modelling

Author:

Wu C.C.,Lee Jack C.

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference47 articles.

1. Mixture models, outliers, and the EM algorithm;Aitkin;Technometrics,1980

2. Information theory and an extension of the maximum likelihood principle;Akaike,1973

3. Normal Mixture GARCH(1,1): application to exchange rate modelling;Alexander;Journal of Applied Econometrics,2005

4. Asset pricing and risk aversion in the Spanish stock market;Alonso;Journal of Banking and Finance,1990

5. No arbitrage and arbitrage pricing — a new approach;Bansal;Journal of Finance,1993

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Finite Mixture GARCH Approach with EM Algorithm for Energy Forecasting Applications;Energies;2021-04-21

2. References;Fundamental Statistical Inference;2018-09-08

3. Multivariate asset return prediction with mixture models;The European Journal of Finance;2013-05-03

4. Bibliography;Handbook of Volatility Models and Their Applications;2012-03-27

5. Multivariate Asset Return Prediction with Mixture Models;SSRN Electronic Journal;2011

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