Haas, Markus; Mittnik, Stefan; Paolella, Mark S. - Center for Financial Studies - 2008
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed …
No. 2008/07
Asymmetric Multivariate Normal Mixture GARCH
Markus Haas, Stefan Mittnik,
and Marc S. Paolella …, Switzerland
CFS Working Paper No. 2008/07
Asymmetric Multivariate Normal Mixture GARCH
Markus Haas
1
, Stefan Mittnik
2 …