Luc, BAUWENS; C.M., HAFNER; J.V.K., ROMBOUTS - Institut de Recherche Économique et Sociale (IRES), … - 2006
We propose a new multivariate volatility model where the conditional distribution of a vector time series is given by a mixture of multivariate normal distributions. Each of these distributions is allowed to have a time-varying covariance matrix. The process can be globally covariance-stationary...