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Article: On Mixture Memory Garch Models

TitleOn Mixture Memory Garch Models
Authors
Li, MLi, WKLi, G
KeywordsCovariance stationarity
EM algorithm
Long memory in volatility
Mixture ARCH(∞)
Issue Date2013
PublisherBlackwell Publishing Ltd.
Citation
Journal of Time Series Analysis, 2013, v. 34 n. 6, p. 606-624 How to Cite?
DOI: http://dx.doi.org/10.1111/jtsa.12037
Persistent Identifierhttp://hdl.handle.net/10722/194983
ISSN
0143-9782
2023 Impact Factor: 1.2
2023 SCImago Journal Rankings: 0.875
ISI Accession Number ID
WOS:000326274400002

 

DC FieldValueLanguage
dc.contributor.authorLi, Men_US
dc.contributor.authorLi, WKen_US
dc.contributor.authorLi, Gen_US
dc.date.accessioned2014-02-21T06:43:35Z-
dc.date.available2014-02-21T06:43:35Z-
dc.date.issued2013en_US
dc.identifier.citationJournal of Time Series Analysis, 2013, v. 34 n. 6, p. 606-624en_US
dc.identifier.issn0143-9782-
dc.identifier.urihttp://hdl.handle.net/10722/194983-
dc.languageengen_US
dc.publisherBlackwell Publishing Ltd.en_US
dc.relation.ispartofJournal of Time Series Analysisen_US
dc.rightsThe definitive version is available at www.blackwell-synergy.com-
dc.subjectCovariance stationarity-
dc.subjectEM algorithm-
dc.subjectLong memory in volatility-
dc.subjectMixture ARCH(∞)-
dc.titleOn Mixture Memory Garch Modelsen_US
dc.typeArticleen_US
dc.identifier.emailLi, M: gracelmy@hku.hken_US
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hken_US
dc.identifier.emailLi, G: gdli@hku.hken_US
dc.identifier.authorityLi, WK=rp00741en_US
dc.identifier.authorityLi, G=rp00738en_US
dc.identifier.doi10.1111/jtsa.12037-
dc.identifier.scopuseid_2-s2.0-84886088705-
dc.identifier.hkuros228075en_US
dc.identifier.volume34en_US
dc.identifier.issue6-
dc.identifier.spage606en_US
dc.identifier.epage624en_US
dc.identifier.isiWOS:000326274400002-
dc.publisher.placeUnited Kingdomen_US
dc.identifier.issnl0143-9782-

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