Asymmetric heavy-tailed vector auto-regressive processes with application to financial data (Q5107711)
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scientific article; zbMATH DE number 7194288
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymmetric heavy-tailed vector auto-regressive processes with application to financial data |
scientific article; zbMATH DE number 7194288 |
Statements
Asymmetric heavy-tailed vector auto-regressive processes with application to financial data (English)
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28 April 2020
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VAR processes
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scale mixtures of multivariate skew-normal
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EM-type algorithm
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outliers
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asymmetric distributions
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heavy tailed distributions
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financial data
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multivariate time series
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