Numerous heavy-tailed distributions are used for modeling financial data and in problems related to the modeling of economics processes. These distributions have higher peaks and heavier tails than normal distributions. Moreover, in some situations, we cannot observe complete information about...

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...