Value-at-risk via mixture distributions reconsidered (Q1039677)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value-at-risk via mixture distributions reconsidered |
scientific article |
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Value-at-risk via mixture distributions reconsidered (English)
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23 November 2009
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fat-tailed distributions
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forecasting
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Gaussian mixture
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Markov-switching
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nonlinear time series
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stock markets
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value-at-risk
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