Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2008
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 … recently proposed class of normal mixture
GARCH models is developed. Issues of parametrization and estimation are discussed …