Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2006
Keywords: Conditional Volatility, Regime-dependent Correlations, Leverage Effect,
Multivariate GARCH, Second-order Dependence … meets frequently expressed concerns about standard GARCH models,
which are not able to capture state{dependent volatility … nancial return series, the normal mixture GARCH model is
well suited for modeling and forecasting the volatility of nancial …