This article considers risk measures constructed under a discrete mixture-of-normal distribution on the innovations of a GARCH model with time-varying volatility. The authors use an approach based on a continuous empirical characteristic function to estimate the parameters of the model using...

This paper extends the stochastic conditional duration model first proposed by Bauwens and Veredas (2004) by imposing mixtures of bivariate normal distributions on the innovations of the observation and latent equations of the duration process. This extension allows the model not only to capture...