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Time aggregation of normal mixture GARCH models

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Alexander, C. and Lazar, E. (2004) Time aggregation of normal mixture GARCH models. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA.

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Official URL: http://www.actapress.com/Abstract.aspx?paperId=176...


Item Type:Conference or Workshop Item (Paper)
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:21262
Uncontrolled Keywords:GARCH process, normal mixture, time aggregation
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