Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models

DOI10.1016/j.csda.2007.05.007zbMath1368.62244OpenAlexW2039141506MaRDI QIDQ1023483

D. Giannikis, Petros Dellaportas, Ioannis D. Vrontos

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.05.007

zbMATH Keywords

Markov chain Monte CarloBayesian inferencestochastic searchvalue at riskautoregressive conditional heteroscedasticity

Mathematics Subject Classification ID

Related Items (5)

Modeling tails of aggregate economic processes in a stochastic growth model ⋮ Bayesian option pricing using mixed normal heteroskedasticity models ⋮ A long memory model with normal mixture GARCH ⋮ Asymmetric multivariate normal mixture GARCH ⋮ Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference

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