Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models

@article{Giannikis2008ModellingNA,
  title={Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models},
  author={D. Giannikis and I. D. Vrontos and Petros Dellaportas},
  journal={Computational Statistics & Data Analysis},
  year={2008},
  volume={52},
  pages={1549-1571}
}
A new class of flexible threshold normal mixture GARCH models is proposed for the analysis and modelling of the stylized facts appeared in many financial time series. A Bayesian stochastic method is developed and presented for the analysis of the proposed model allowing for automatic model determination and estimation of the thresholds and their unknown… CONTINUE READING