This paper investigates an e±cient estimation method for a class of switching regressions based on the characteristic function (CF). We show that with the exponential weighting function, the CF based estimator can be achieved from minimizing a closed form distance measure. Due to the...

This paper considers Value at Risk measures constructed under a discrete mixture of normal distribution on the innovations with time-varying volatility, or MN-GARCH, model. We adopt an approach based on the continuous empirical characteristic function to estimate the param eters of the model...

This paper provides a selected review of the recent developments and applications of mixtures of normal (MN) distribution models in empirical finance. Once attractive property of the MN model is that it is flexible enough to accommodate various shapes of continuous distributions, and able to...