An approach to VaR for capital markets with Gaussian mixture (Q2572749): Difference between revisions

@@ Property / author @@
-Ming-Heng Zhang
@@ Property / author: Ming-Heng Zhang / rank @@
-Normal rank
@@ Property / author @@
-Qian-Sheng Cheng
@@ Property / author: Qian-Sheng Cheng / rank @@
-Normal rank
@@ Property / author @@
+Ming-Heng Zhang
@@ Property / author: Ming-Heng Zhang / rank @@
+Normal rank
@@ Property / author @@
+Qian-Sheng Cheng
@@ Property / author: Qian-Sheng Cheng / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+RiskMetrics
@@ Property / describes a project that uses: RiskMetrics / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.amc.2004.10.004
+Normal rank
@@ Property / OpenAlex ID @@
+W2116097175
@@ Property / OpenAlex ID: W2116097175 / rank @@
+Normal rank
@@ Property / cites work @@
+The impact of stationarity assessment on studies of volatility and value-at-risk.
+Normal rank
@@ Property / cites work @@
+Gaussian mixture modelling to detect random walks in capital markets
+Normal rank
@@ Property / cites work @@
+Q4353852
@@ Property / cites work: Q4353852 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2572749