The Gaussian mixture dynamic conditional correlation model: Parameter estimation, value at risk calculation, and portfolio selection (Q3063006)
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scientific article; zbMATH DE number 5830385
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| English | The Gaussian mixture dynamic conditional correlation model: Parameter estimation, value at risk calculation, and portfolio selection |
scientific article; zbMATH DE number 5830385 |
Statements
The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection (English)
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30 December 2010
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Bayesian inference
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Gaussian mixture model
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maximum likelihood estimation
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multivariate generalized autoregressive conditional heteroscedasticity model
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portfolio selection
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value at risk
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0.8369582891464233
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0.8272327780723572
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0.820993185043335
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0.8093793392181396
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0.8035708665847778
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