Showing 1 - 3 of 3
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...
Persistent link: https://www.econbiz.de/10010730246
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian …
Persistent link: https://www.econbiz.de/10010608465
Persistent link: https://www.econbiz.de/10010370491