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 … generalization of the mixed normal GARCH model proposed in
Haas, Mittnik, and Paolella (2004a). Issues of parametrization and …