Stable mixture GARCH models (Q528154): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / zbMATH DE Number: 6714816 / rank | |||
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density forecasting | |||
| Property / zbMATH Keywords: density forecasting / rank | |||
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expected shortfall | |||
| Property / zbMATH Keywords: expected shortfall / rank | |||
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fat tails | |||
| Property / zbMATH Keywords: fat tails / rank | |||
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ICA | |||
| Property / zbMATH Keywords: ICA / rank | |||
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GARCH | |||
| Property / zbMATH Keywords: GARCH / rank | |||
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mixtures | |||
| Property / zbMATH Keywords: mixtures / rank | |||
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portfolio selection | |||
| Property / zbMATH Keywords: portfolio selection / rank | |||
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stable Paretian distribution | |||
| Property / zbMATH Keywords: stable Paretian distribution / rank | |||
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value-at-risk | |||
| Property / zbMATH Keywords: value-at-risk / rank | |||
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Revision as of 08:10, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stable mixture GARCH models |
scientific article |
Statements
Stable mixture GARCH models (English)
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12 May 2017
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density forecasting
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expected shortfall
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fat tails
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ICA
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GARCH
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mixtures
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portfolio selection
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stable Paretian distribution
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value-at-risk
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