Stable mixture GARCH models (Q528154)

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Stable mixture GARCH models
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    title
    Stable mixture GARCH models (English)
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    author
    Simon A. Broda
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    Markus Haas
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    Jochen Krause
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    Marc S. Paolella
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    Sven C. Steude
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    publication date
    12 May 2017
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    Mathematics Subject Classification ID
    62P05
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    62M10
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    91G10
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    91G70
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    zbMATH DE Number
    6714816
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    zbMATH Keywords
    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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    OpenAlex ID
    W3123598359
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