Mixed Normal Conditional Heteroskedasticity
نویسندگان
چکیده
منابع مشابه
Mixed Normal Conditional Heteroskedasticity
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 components as well as dynamic feedback between the components. Special cases and relationships with previous...
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2004
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbh009