Browsing by Subject "normal mean variance mixtures"

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A framework for normal mean variance mixture innovations with application to Garth modelling

De Jongh, P.J.; Venter, J.H. (SASA, 2015)

GARCH models are useful to estimate the volatility of financial return series. Historically the innovation distribution of a GARCH model was assumed to be standard normal but recent research emphasizes the need for more ...