The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection (Q3063006): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1198/jbes.2009.07238 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2011090480 / rank | |||
Normal rank | |||
Latest revision as of 19:42, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection |
scientific article |
Statements
The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection (English)
0 references
30 December 2010
0 references
Bayesian inference
0 references
Gaussian mixture model
0 references
maximum likelihood estimation
0 references
multivariate generalized autoregressive conditional heteroscedasticity model
0 references
portfolio selection
0 references
value at risk
0 references
