Title of article :
Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
Author/Authors :
D. Giannikis، نويسنده , , I.D. Vrontos، نويسنده , , P. Dellaportas، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Keywords :
value at risk , Bayesian inference , Autoregressive conditional heteroscedasticity , Stochastic Search , Markov chain Monte Carlo
Journal title :
Computational Statistics and Data Analysis
Journal title :
Computational Statistics and Data Analysis
