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- Publisher Website: 10.1111/jtsa.12037
- Scopus: eid_2-s2.0-84886088705
- WOS: WOS:000326274400002
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Article: On Mixture Memory Garch Models
Title | On Mixture Memory Garch Models |
---|---|
Authors | |
Keywords | Covariance stationarity EM algorithm Long memory in volatility Mixture ARCH(∞) |
Issue Date | 2013 |
Publisher | Blackwell Publishing Ltd. |
Citation | Journal of Time Series Analysis, 2013, v. 34 n. 6, p. 606-624 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/194983 |
ISSN | 2023 Impact Factor: 1.2 2023 SCImago Journal Rankings: 0.875 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Li, M | en_US |
dc.contributor.author | Li, WK | en_US |
dc.contributor.author | Li, G | en_US |
dc.date.accessioned | 2014-02-21T06:43:35Z | - |
dc.date.available | 2014-02-21T06:43:35Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | Journal of Time Series Analysis, 2013, v. 34 n. 6, p. 606-624 | en_US |
dc.identifier.issn | 0143-9782 | - |
dc.identifier.uri | http://hdl.handle.net/10722/194983 | - |
dc.language | eng | en_US |
dc.publisher | Blackwell Publishing Ltd. | en_US |
dc.relation.ispartof | Journal of Time Series Analysis | en_US |
dc.rights | The definitive version is available at www.blackwell-synergy.com | - |
dc.subject | Covariance stationarity | - |
dc.subject | EM algorithm | - |
dc.subject | Long memory in volatility | - |
dc.subject | Mixture ARCH(∞) | - |
dc.title | On Mixture Memory Garch Models | en_US |
dc.type | Article | en_US |
dc.identifier.email | Li, M: gracelmy@hku.hk | en_US |
dc.identifier.email | Li, WK: hrntlwk@hkucc.hku.hk | en_US |
dc.identifier.email | Li, G: gdli@hku.hk | en_US |
dc.identifier.authority | Li, WK=rp00741 | en_US |
dc.identifier.authority | Li, G=rp00738 | en_US |
dc.identifier.doi | 10.1111/jtsa.12037 | - |
dc.identifier.scopus | eid_2-s2.0-84886088705 | - |
dc.identifier.hkuros | 228075 | en_US |
dc.identifier.volume | 34 | en_US |
dc.identifier.issue | 6 | - |
dc.identifier.spage | 606 | en_US |
dc.identifier.epage | 624 | en_US |
dc.identifier.isi | WOS:000326274400002 | - |
dc.publisher.place | United Kingdom | en_US |
dc.identifier.issnl | 0143-9782 | - |