Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation

Nikolay Y. Nikolaev, Georgi N. Boshnakov, Robert Zimmer. Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation. Expert Syst. Appl., 40(6):2233-2243, 2013. [doi]

Authors

Nikolay Y. Nikolaev

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Georgi N. Boshnakov

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Robert Zimmer

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