Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model (Q4914961)
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scientific article; zbMATH DE number 6154458
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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