Title: Nonnegativity constraints for $N$-dimensional asymmetric power heavy/MEM/GARCH Models and a new mixture hormulation
Authors: Menelaos Karanasos - Brunel University (United Kingdom)
Yongdeng Xu - Cardiff University (United Kingdom) [presenting]
Abstract: Results on the derivation of tractable nonegativity constraints for $N$-dimensional heavy/MEM/GARCH systems are reviewed and generalized. These nonnegativity conditions are expressed in terms of matrix inequalities which can be solved easily. Numerical examples are included to show the effectiveness of the proposed method.