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Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Persistent link: https://www.econbiz.de/10001707592

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...

Persistent link: https://www.econbiz.de/10009767120

Modeling and predicting market risk with Laplace-Gaussian mixture distributions

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003351512

Multivariate normal mixture GARCH

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003351679

Asymmetric multivariate normal mixture GARCH

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003651581

Modeling the persistence of conditional volatility with GARCH-stable processes

Mittnik, Stefan - 1997

Persistent link: https://www.econbiz.de/10000984425

Unconditional and conditional distributional models for the Nikkei index

Mittnik, Stefan - 1997

Persistent link: https://www.econbiz.de/10000985609

The prediction of down-side market risk with GARCH-stable models

Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - 1998

Persistent link: https://www.econbiz.de/10001410540

A tail estimator for the index of the stable Paretian distribution

Mittnik, Stefan - 1996

Persistent link: https://www.econbiz.de/10001410592

Stationarity of stable GARCH processes

Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - 1999

Persistent link: https://www.econbiz.de/10001557008

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