Risk analysis of investment portfolio based on mixture copula (Q2824946)
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scientific article; zbMATH DE number 6635411
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| English | Risk analysis of investment portfolio based on mixture copula |
scientific article; zbMATH DE number 6635411 |
Statements
6 October 2016
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mixture copula
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GARCH
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value at risk
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EM algorithm
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Risk analysis of investment portfolio based on mixture copula (English)
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0.7763713598251343
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0.7672913074493408
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0.7618284821510315
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