Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 602-623
The class of mixed normal conditional heteroskedastic (MixN-GARCH) models, which couples a mixed normal distributional structure with GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as well as excellent out-of-sample forecasting...
