Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model (Q4914961): Difference between revisions
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Revision as of 18:59, 5 March 2024
scientific article; zbMATH DE number 6154458
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English | Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model |
scientific article; zbMATH DE number 6154458 |
Statements
Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model (English)
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16 April 2013
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ARMA-GARCH model
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Gaussian mixture model
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residuals
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value-at-risk
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