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Time aggregation of normal mixture GARCH models

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Alexander, C. and Lazar, E. orcid id iconORCID: https://orcid.org/0000-0002-8761-0754 (2004) Time aggregation of normal mixture GARCH models. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA.

Item Type Conference or Workshop Item (Paper)
URI https://reading-clone.eprints-hosting.org/id/eprint/21262
Refereed Yes
Divisions Henley Business School > Finance and Accounting
Uncontrolled Keywords GARCH process, normal mixture, time aggregation
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Full text not archived in this repository.
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