TY  - UNPD
A1  - Haas, Markus
A1  - Mittnik, Stefan
A1  - Paolella, Marc S.
T1  - Asymmetric multivariate normal mixture GARCH
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,07
N2  - An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an application to stock market returns, it is shown that the disaggregation of the conditional (co)variance process generated by the model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating out–of–sample Value–at–Risk measures.
T3  - CFS working paper series - 2008, 07 
KW  - Conditional Volatility
KW  - Finite Normal Mixtures
KW  - Multivariate GARCH
KW  - Leverage Effect
KW  - GARCH-Prozess
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/221
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-53240
IS  - January 18, 2008
ER  -