A multivariate generalized autoregressive conditional heteroscedasticity model with dynamic conditional correlations is proposed, in which the individual conditional volatilities follow exponential ...

GMM s can capture nearly any continuous probability distribution using a mixture of Gaussian distributions. The process is gradual. The model starts by identifying the densest part of the probability ...

The mixture transition distribution model (MTD) was introduced in 1985 by Raftery for the modeling of high-order Markov chains with a finite state space. Since then it has been generalized and ...