Modelling long-term investment returns via Bayesian infinite mixture time series models (Q3077721): Difference between revisions

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Latest revision as of 19:00, 3 July 2024

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Modelling long-term investment returns via Bayesian infinite mixture time series models
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    Modelling long-term investment returns via Bayesian infinite mixture time series models (English)
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    22 February 2011
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    Bayesian MAR models
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    Bayesian mixture AR-ARCH models
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    weighted Chinese restaurant process
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    clustering of returns
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    outliers detection
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    Dirichlet prior process
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    quantile-based risk measures
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    conditional tail expectation
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