Rombouts, Jeroen; Bouaddi, Mohammed - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 3, pp. 1645-1645
To match the stylized facts of high frequency financial time series precisely and parsimoniously, this paper presents a finite mixture of conditional exponential power distributions where each component exhibits asymmetric conditional heteroskedasticity. We provide weak stationarity conditions...
