• 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