Mika Meitz

University of Helsinki - Department of Political and Economic Studies

P.O. Box 54

FIN-00014 Helsinki

Finland

SCHOLARLY PAPERS

4

DOWNLOADS

150

SSRN CITATIONS
Rank 43,548

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Top 43,548

in Total Papers Citations

10

CROSSREF CITATIONS

6

Scholarly Papers (4)

1.

StMAR Toolbox: A MATLAB Toolbox for Student's t Mixture Autoregressive Models

Number of pages: 18 Posted: 31 Aug 2018
University of Helsinki - Department of Political and Economic Studies, Singapore Management University and University of Helsinki - Department of Statistics
Downloads 65 (459,845)

Abstract:

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Mixture Model, Regime Switching, Conditional Heteroskedasticity, Student’s t Distribution, Financial Econometrics, Numerical Optimization, Parallel Computing, MATLAB

2.

A Mixture Autoregressive Model Based on Student's t-Distribution

Number of pages: 23 Posted: 24 May 2018 Last Revised: 11 Aug 2021
University of Helsinki - Department of Political and Economic Studies, Singapore Management University and University of Helsinki - Department of Statistics
Downloads 63 (467,175)
Citation 1

Abstract:

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Conditional heteroskedasticity, mixture model, regime switching, Student’s t-distribution

3.

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

DIW Berlin Discussion Paper No. 1764
Number of pages: 28 Posted: 21 Oct 2018
Free University of Berlin (FUB), University of Helsinki - Department of Political and Economic Studies, Free University of Berlin (FUB) and University of Helsinki - Department of Statistics
Downloads 20 (693,432)
Citation 10

Abstract:

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Heteroskedasticity, structural identification, vector autoregressive process

4.

A Gaussian Mixture Autoregressive Model for Univariate Time Series

Journal of Time Series Analysis, Vol. 36, Issue 2, pp. 247-266, 2015
Number of pages: 20 Posted: 13 Feb 2015
University of Helsinki - Department of Statistics, University of Helsinki - Department of Political and Economic Studies and University of Helsinki - Department of Statistics
Downloads 2 (860,449)
Citation 2

Abstract:

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ergodicity, Markov chain, nonlinear autoregression, regime switching, stationarity