Stable mixture GARCH models (Q528154): Difference between revisions

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+Bayesian estimation of the Gaussian mixture GARCH model
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+Kurtosis of GARCH and stochastic volatility models with non-normal innovations
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+Multivariate mixed normal conditional heteroskedasticity
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+Theory and inference for a Markov switching GARCH model
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+A Component GARCH Model with Time Varying Weights
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+Normal rank
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+Generalized autoregressive conditional heteroscedasticity
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+Estimating the components of a mixture of normal distributions
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+Portfolio optimization when risk factors are conditionally varying and heavy tailed
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+Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
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+Conditional Heteroskedasticity Driven by Hidden Markov Chains
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+Finite mixture and Markov switching models.
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+Stable distributions in the Black–Litterman approach to asset allocation
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+Asymmetric multivariate normal mixture GARCH
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+A constrained formulation of maximum-likelihood estimation for normal mixture distributions
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+A simple general approach to inference about the tail of a distribution
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+Q2736839
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+Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
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+Consistency of the Maximum Likelihood Estimator in the Presence of Infinitely Many Incidental Parameters
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+Q3003679
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+Fat tails and volatility clustering in experimental asset markets
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+The qq-estimator and heavy tails
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+Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
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+Indirect estimation of elliptical stable distributions
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+Empirical distributions of stock returns: between the stretched exponential and the power law?
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+A tail estimator for the index of the stable paretian distribution<sup>∗</sup>
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+Stationarity of stable power-GARCH processes.
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+Intermediate Probability
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+Testing the stable Paretian assumption
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+Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
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+Q4301585
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+Normal rank
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+Q3417687
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+Strong consistency of the maximum likelihood estimator for finite mixtures of location-scale distributions when penalty is imposed on the ratios of the scale parameters
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