"Asymmetric multivariate normal mixture GARCH."

Markus Haas, Stefan Mittnik, Marc S. Paolella (2009)

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DOI: 10.1016/J.CSDA.2007.12.018

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type: Journal Article

metadata version: 2024-10-06

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Markus Haas, Stefan Mittnik, Marc S. Paolella:
Asymmetric multivariate normal mixture GARCH. Comput. Stat. Data Anal. 53(6): 2129-2154 (2009)

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