This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models …

implied volatilities. Keywords: Bayesian inference, option pricing, finite mixture models, out-of-sample prediction, GARCH … mixture models, which are convex combinations of densities, are becoming a stan- dard tool in financial econometrics. They are … mixture models. Boothe and Glassman (1987), Tucker and Pond (1988), and Pan, Chan, and Fok (1995) use mixtures of normals to …

convergence; Multiple regimes; Mixture models. JEL Classi�cations: C52, N10, O47. Previous versions of the work were presented at … restrictions. In order to bring light into this debate, mixture models appear to be useful an- alytical tools, since they allow us …-624. 5 As far as we know, mixture models in the form of mixtures of growth regression have been previously used by Paap et …

behavior consistent with CPT. Interestingly, when we allow for preference heterogeneity via the estimation of mixture models …