No . 2 / 2013 Time-varying Mixture GARCH Models and Asymmetric Volatility

@inproceedings{Haas2013No2,
  title={No . 2 / 2013 Time-varying Mixture GARCH Models and Asymmetric Volatility},
  author={Markus Haas and Jochen C. Krause and Marc S. Paolella and Sven C. Steude},
  year={2013}
}
The class of mixed normal conditional heteroskedastic (MixN-GARCH) models, which couples a mixed normal distributional structure with GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as well as excellent outof-sample forecasting performance, for financial asset returns. In this paper, we generalize… CONTINUE READING