Title of article :
Modeling Hong Kong’s stock index with the Student t-mixture autoregressive model Original Research Article
Author/Authors :
C.S. Wong، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
Abstract :
It is well known that financial returns are usually not normally distributed, but rather exhibit excess kurtosis. This implies that there is greater probability mass at the tails of the marginal or conditional distribution. Mixture-type time series models are potentially useful for modeling financial returns. However, most of these models make the assumption t
Keywords :
Conditional leptokurtic distribution , Multi-modality , Nonlinear time series model , mixture distribution
Journal title :
Mathematics and Computers in Simulation
Journal title :
Mathematics and Computers in Simulation