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]
@article{NikolaevBZ13,
title = {Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation},
author = {Nikolay Y. Nikolaev and Georgi N. Boshnakov and Robert Zimmer},
year = {2013},
doi = {10.1016/j.eswa.2012.10.038},
url = {http://dx.doi.org/10.1016/j.eswa.2012.10.038},
researchr = {https://researchr.org/publication/NikolaevBZ13},
cites = {0},
citedby = {0},
journal = {Expert Syst. Appl.},
volume = {40},
number = {6},
pages = {2233-2243},
}