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Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models.

D. GiannikisI. D. VrontosPetros Dellaportas
Published in: Comput. Stat. Data Anal. (2008)
Keyphrases
  • heavy tailed
  • garch model
  • heavy tails
  • generalized gaussian
  • mixture model
  • probability density function
  • multiresolution
  • sar images