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
Pages :
10
From page :
1334
To page :
1343
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
Serial Year :
2011
Journal title :
Mathematics and Computers in Simulation
Record number :
855086
Link To Document :
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