Asymmetric multivariate normal mixture GARCH.

Markus Haas Stefan Mittnik Marc S. Paolella

Published in: Comput. Stat. Data Anal. (2009)

Keyphrases

multivariate normal
covariance matrices
covariance matrix
gaussian distribution
mixture model
gaussian mixture
gaussian mixture model
exchange rate
wavelet analysis
garch model
long term
principal component analysis
expectation maximization
stock market