Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
We present a multivariate generalization of the mixed normal GARCH model proposed in Haas, Mittnik, and Paolella (2004a … applicable to the single-component multivariate GARCH(p, q) model and simplify the results existing in the literature. In an …
No. 2006/09
Multivariate Normal Mixture GARCH
Markus Haas, Stefan Mittnik,
and Marc S. Paolella …