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