Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition

DOI10.1016/j.jmva.2019.02.004zbMath1415.60021OpenAlexW2913307498MaRDI QIDQ2001089

Jeffrey Näf, Paweł Polak, Marc S. Paolella

Publication date: 2 July 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2019.02.004

zbMATH Keywords

portfolio optimizationmixture distributionexpectation-maximization algorithmcryptocurrenciesheterogeneous tails

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characteristic functions; other transforms (60E10)

Related Items

Editorial for the special issue on dependence models, Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition, Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns, Maximum likelihood and maximum a posteriori estimators for the Riesz probability distribution

Uses Software

• QRM
• PMTK
• CopulaModel

Cites Work

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