Value-at-risk via mixture distributions reconsidered (Q1039677)
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scientific article; zbMATH DE number 5636972
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| default for all languages | No label defined |
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| English | Value-at-risk via mixture distributions reconsidered |
scientific article; zbMATH DE number 5636972 |
Statements
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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0.90930337
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0.89515907
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0.89485043
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0.8871053
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0.8869947
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0.88325405
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0.88245964
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0.8804339
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0.87967384
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0.8781338
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