Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2006
No. 2006/09
Multivariate Normal Mixture GARCH
Markus Haas, Stefan Mittnik,
and Marc S. Paolella …
Swiss Banking Institute, University of Zurich
CFS Working Paper No. 2006/09
Multivariate Normal Mixture GARCH*
Markus … Haas
1
, Stefan Mittnik
2
,
and Marc S. Paolella
3
April 2006
Abstract:
We present a multivariate …