Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2006
generalization of the mixed normal GARCH model proposed in
Haas, Mittnik, and Paolella (2004a). Issues of parametrization and …
Non{technical Summary
In this paper, we propose a multivariate generalization of the normal mixture GARCH
model originally … nancial return series, the normal mixture GARCH model is
well suited for modeling and forecasting the volatility of nancial …