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  • Search: subject:"conditional exess kurtosis"
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Year of publication
Subject
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GARCH models 1 Volatility regimes 1 conditional exess kurtosis 1 conditional hetroscedasticity 1 exchange rates 1 heavy trails 1 normal mixture 1
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Alexandra, Carol 1 Lazar, Emese 1
Institution
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Henley Business School, University of Reading 1
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ICMA Centre Discussion Papers in Finance 1
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RePEc 1
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Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling
Alexandra, Carol; Lazar, Emese - Henley Business School, University of Reading - 2004
Some recent specifications for GARCH error processes explicitly assume a conditional variance that is generated by a mixture of normal components, albeit with some parameter restrictions. This paper analyses the general normal mixture GARCH(1,1) model which can capture time-variation in both...
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