Showing 1 - 10 of 105
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...
Persistent link: https://www.econbiz.de/10010298390
Persistent link: https://www.econbiz.de/10000984425
Persistent link: https://www.econbiz.de/10000985609
Persistent link: https://www.econbiz.de/10001557008
Persistent link: https://www.econbiz.de/10001558281
Persistent link: https://www.econbiz.de/10001410540
Persistent link: https://www.econbiz.de/10001410592
Persistent link: https://www.econbiz.de/10001707592
Persistent link: https://www.econbiz.de/10001788591
Persistent link: https://www.econbiz.de/10001882139