Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
| Year of publication: |
2008
|
|---|---|
| Authors: | Giannikis, D. ; Vrontos, I.D. ; Dellaportas, P. |
| Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 52.2008, 3, p. 1549-1571
|
| Publisher: |
Elsevier |